Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

DOI10.1111/J.1468-0262.2004.00515.XzbMATH Open1141.91634OpenAlexW2155804346MaRDI QIDQ5475035FDOQ5475035

Authors: 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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Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (only showing first 100 items - show all)

• 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
• Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
• Adaptive estimation of continuous-time regression models using high-frequency data
• Limit theorems for multivariate Brownian semistationary processes and feasible results
• Bayesian semiparametric modeling of realized covariance matrices
• Sequential Monte Carlo methods for stochastic volatility models: a review
• Univariate and multivariate value-at-risk: application and implication in energy markets
• High-dimensional estimation of quadratic variation based on penalized realized variance
• Testing the eigenvalue structure of spot and integrated covariance
• Continuous record Laplace-based inference about the break date in structural change models
• The uncertainty of conditional returns, volatilities and correlations in DCC models
• Managing liquidity with portfolio staleness
• Fire sales forensics: measuring endogenous risk
• Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies
• A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
• A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
• Robust estimation of a high-dimensional integrated covariance matrix
• Volatility coupling
• Financial interpretation of herd behavior index and its statistical estimation
• Mixed-scale jump regressions with bootstrap inference
• Measuring large comovements in financial markets
• The Gibbs sampler with particle efficient importance sampling for state-space models*
• Comparing unconstrained parametrization methods for return covariance matrix prediction
• Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
• Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
• Bipower variation with jumps and correlated returns
• Volatility estimation in fractional Ornstein-Uhlenbeck models
• A weak law of large numbers for realised covariation in a Hilbert space setting
• High-frequency factor models and regressions
• Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
• Estimation of quarticity with high-frequency data
• Dynamic principal component CAW models for high-dimensional realized covariance matrices
• A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
• A CLT for second difference estimators with an application to volatility and intensity
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
• Realized Volatility: A Review
• Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
• Using High-Frequency Data in Dynamic Portfolio Choice
• Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
• Sequentiel testing for the stability of high-frequency portfolio betas
• 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
• Volatility forecast comparison using imperfect volatility proxies
• 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
• Sequential monitoring of portfolio betas
• 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
• Nonparametric spot volatility from options
• A functional version of the ARCH model
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
• Modeling tick-by-tick realized correlations
• Bias-correcting the realized range-based variance in the presence of market microstructure noise
• Volatility regressions with fat tails
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
• Bootstrapping realized multivariate volatility measures
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Comment: A selective overview of nonparametric methods in financial econometrics
• Estimation of stable distributions by indirect inference
• 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

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