Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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Publication:5475035
DOI10.1111/J.1468-0262.2004.00515.XzbMATH Open1141.91634OpenAlexW2155804346MaRDI QIDQ5475035FDOQ5475035
Ole E. Barndorff-Nielsen, Neil Shephard
Publication date: 16 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00515.x
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- Using High-Frequency Data in Dynamic Portfolio Choice
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- Unrestricted maximum likelihood estimation of multivariate realized volatility models
- The Volatility of Realized Volatility
- A Law of Large Numbers for the Power Variation of Fractional Lévy Processes
- Multipower variation for Brownian semistationary processes
- Cholesky-GARCH models with applications to finance
- HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
- Volatility forecast comparison using imperfect volatility proxies
- Estimation of Correlation for Continuous Semimartingales
- Testing stationarity of functional time series
- Consistent estimation of covariation under nonsynchronicity
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Inference theory for volatility functional dependencies
- Asymptotic inference about predictive accuracy using high frequency data
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Power variation of some integral fractional processes
- Power variation for Gaussian processes with stationary increments
- Nonsynchronous covariation process and limit theorems
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
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- On the use of high frequency measures of volatility in MIDAS regressions
- Forecasting multivariate realized stock market volatility
- Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets
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- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
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- Bias-correcting the realized range-based variance in the presence of market microstructure noise
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- The conditional autoregressive Wishart model for multivariate stock market volatility
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- Large-scale portfolio allocation under transaction costs and model uncertainty
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- On the estimation of integrated covariance matrices of high dimensional diffusion processes
- An integrated cross-volatility estimation for asynchronous noisy data
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- Bipower Variation for Gaussian Processes with Stationary Increments
- A note on the central limit theorem for bipower variation of general functions
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
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- Data-based ranking of realised volatility estimators
- Power variation and stochastic volatility: a review and some new results
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- Analysis of high dimensional multivariate stochastic volatility models
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Limit theorems for multipower variation in the presence of jumps
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Vast volatility matrix estimation for high-frequency financial data
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Mean-variance portfolio selection with correlation risk
- Fractional integration versus level shifts: the case of realized asset correlations
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Power variation of multiple fractional integrals
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- High-dimensional covariance forecasting for short intra-day horizons
- High-dimensional copula-based distributions with mixed frequency data
- A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Power variation of fractional integral processes with jumps
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Exploiting the errors: a simple approach for improved volatility forecasting
- A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
- Functional modelling of volatility in the Swedish limit order book
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
- Multivariate leverage effects and realized semicovariance GARCH models
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- A closed-form formula characterization of the Epps effect
- Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series
- Efficient estimation of drift parameters in stochastic volatility models
- A multivariate volatility vine copula model
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Volatility estimation of general Gaussian Ornstein-Uhlenbeck process
- Variation and efficiency of high-frequency betas
- Long memory behavior of returns after intraday financial jumps
- A reexamination of stock return predictability
- Equity clusters through the lens of realized semicorrelations
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS
- New distribution theory for the estimation of structural break point in mean
- Econometric analysis of high frequency data
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