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Analysis of variance 1 Correlation 1 Forecasting model 1 High-frequency data 1 Korrelation 1 Market microstructure 1 Marktmikrostruktur 1 Prognoseverfahren 1 Theorie 1 Theory 1 Time series analysis 1 Varianzanalyse 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 asymmetriccorrelations 1 cojumps 1 realized variances 1 semicovariances 1 volatility forecasting 1
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Bollerslev, Tim 1 Patton, Andrew J. 1 Quaedvlieg, Rogier 1
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ERID working paper 1 Economic Research Initiatives at Duke (ERID) Working Paper 1
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Did you mean: subject:"realized variance" (103 results)
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Realized semicovariances : looking for signs of direction inside the covariance matrix
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 high-frequency returns. Under an asymptotic setting in which the sampling interval goes to zero, we derive the asymptotic properties of the resulting realized semicovariance...
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