Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2017 - This version: September 5, 2017
We propose a new decomposition of the realized covariance matrix into components based on the signs of the underlying … properties of the resulting realized semicovariance measures. The first-order asymptotic results highlight how the concordant … this anatomy, we empirically document distinct dynamic dependencies in the different realized semicovariance components …