Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Department of Economics, University of Pennsylvania - 2003
background, we assess the dynamics in realized betas, vis-à-vis the dynamics in the underlying realized market variance and … individual equity covariances with the market. Working in the recently-popularized framework of realized volatility, we are led … to a framework of nonlinear fractional cointegration: although realized variances and covariances are very highly …