Modeling tick-by-tick realized correlations
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Publication:2445693
DOI10.1016/J.CSDA.2009.09.033zbMATH Open1284.91465OpenAlexW3125830245MaRDI QIDQ2445693FDOQ2445693
Authors: Francesco Audrino, Fulvio Corsi 
Publication date: 14 April 2014
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/4436/1/AudrinoCorsi_ModforRC_sub2009.pdf
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Cites Work
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Cited In (8)
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
- Managing risk with a realized copula parameter
- Estimating dynamic copula dependence using intraday data
- Fractional integration versus level shifts: the case of realized asset correlations
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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