Modeling tick-by-tick realized correlations

DOI10.1016/j.csda.2009.09.033zbMath1284.91465OpenAlexW3125830245MaRDI QIDQ2445693

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

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (7)

Managing risk with a realized copula parameter ⋮ Fractional integration versus level shifts: the case of realized asset correlations ⋮ Jump robust daily covariance estimation by disentangling variance and correlation components ⋮ Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects ⋮ Estimating dynamic copula dependence using intraday data ⋮ Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data ⋮ Covariance measurement in the presence of non-synchronous trading and market microstructure noise

Uses Software

• bootstrap

Cites Work

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• A Tale of Two Time Scales
• Long memory and regime switching

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