This paper argues that the inherent data problems make precise point identification of realized correlation difficult but identification bounds in the spirit of Manski (1995) can be derived. These identification bounds allow for a more robust approach to inference especially when the realized...

We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions allowing for a general market microstructure noise specification. We show that our estimators can outperform in terms of the root mean squared error criterion the most recent and...

In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang,...

In this paper, we provide a framework to evaluate finite sample MSE of several realized covariance estimators when using nonsynchronous observations contaminated with microstructure noise. This framework enables us to examine different estimators. We propose some estimators as an application of...

We study high-frequency exchange rate movements over the sample 1993-2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...