We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage …

components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The …

volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding …% and at least 78%). The results on the GMV portfolios show that realized covariance models exhibit lower ex-post volatility …