Modeling tick-by-tick realized correlations

DOI10.1016/J.CSDA.2009.09.033MaRDI QIDQ2445693zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 5198657 (Why is no real title available?)
• A Tale of Two Time Scales
• A general multivariate threshold GARCH model with dynamic conditional correlations
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Long memory and regime switching
• Long memory in continuous-time stochastic volatility models
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• Modeling and Forecasting Realized Volatility
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On covariance estimation of non-synchronously observed diffusion processes
• The Distribution of Realized Exchange Rate Volatility
• The Stationary Bootstrap
• The Volatility of Realized Volatility
• The benefits of bagging for forecast models of realized volatility
• The jackknife and the bootstrap for general stationary observations
• Tree-structured generalized autoregressive conditional heteroscedastic models

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
• Managing risk with a realized copula parameter
• Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
• 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

Describes a project that uses

Uses Software

• bootstrap

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