Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
individual equity covariances with the market. Working in the recently-popularized framework of realized volatility, we are led … recently-popularized
framework of realized volatility, we are led to a framework of nonlinear fractional
cointegration …
management.
JEL Classification: C1, G1
Keywords: quadratic variation and covariation, realized volatility, asset pricing …