In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the French, German and Greek equity markets. Using intraday data I first construct four state-of-the-art realized correlation estimators which I then use to testing...

The intraday nonparametric estimation of the variance-covariance matrix adds to the literature in portfolio analysis of the Greek equity market. This paper examines the economic value of various realized volatility and covariance estimators under the strategy of volatility timing. I use three...

In this chapter, I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the three main FTSE indices of the Athens Stock Exchange. Using intraday data I first construct four state-of-the-art realized correlation estimators which I then...