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
• 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
• Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets
• 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
• Statistical inferences for price staleness
• 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
• Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
• A generalized heterogeneous autoregressive model using market information
• Are tightened trading rules always bad? Evidence from the Chinese index futures market
• Targeting market neutrality
• Multivariate elliptic processes
• Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
• Institutional investors and the dependence structure of asset returns
• Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
• Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
• Realized regression with asynchronous and noisy high frequency and high dimensional data
• Disentangling the role of variance and covariance information in portfolio selection problems
• Unrestricted, restricted, and regularized models for forecasting multivariate volatility
• A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
• Title not available (Why is that?)
• Time series models for realized covariance matrices based on the matrix-F distribution
• Model Selection for Volatility Prediction
• Cryptocurrency systematic risk dynamics
• Goodness-of-fit tests for centralized Wishart processes
• Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
• Intraday Data vs Daily Data to Forecast Volatility in Financial Markets
• Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
• Title not available (Why is that?)
• On the convergence of two types of estimators of quadratic variation
• Multiple measures realized GARCH models
• Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
• Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
• Intraday cross-sectional distributions of systematic risk
• Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
• Autoregressive conditional betas
• Systematic jump risk
• A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
• An Econometric Analysis of Volatility Discovery
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
• Forecasting high-dimensional realized volatility matrices using a factor model
• Rank Tests at Jump Events
• Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
• Bootstrapping Laplace transforms of volatility
• Scalable inference for a full multivariate stochastic volatility model
• Co-jumping of treasury yield curve rates

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