Journal article
Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
- Abstract:
-
This paper analyses multivariate high frequency financial data using realized covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis, and covariance. It will be based on a fixed interval of time (e.g., a day or week), allowing the number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions, and covariances change through time. In particula...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Funding
+ Danish National Research Foundation
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Funding agency for:
Barndorff-Nielsen, O
+ Danish Social Science Research Council
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Funding agency for:
Barndorff-Nielsen, O
Bibliographic Details
- Publisher:
- Blackwell Publishing Publisher's website
- Journal:
- Econometrica Journal website
- Volume:
- 72
- Issue:
- 3
- Pages:
- 885-925
- Publication date:
- 2004-05-01
- DOI:
- ISSN:
-
0012-9682
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:d3d7d8de-655f-4a61-a825-d777f9cb80e3
- Local pid:
- ora:2059
- Deposit date:
- 2008-06-13
Related Items
Terms of use
- Copyright holder:
- Econometric Society
- Copyright date:
- 2004
- Notes:
- The full-text of this article is not available in ORA. Citation: Barndorff-Nielsen, O. E. & Shephard, N. (2004). 'Econometric analysis of realized covariation: high frequncy based covariance, regression, and correlation in financial economics', Econometrica, 72(3), 885-925. [The definitive version is available at www.blackwell-synergy.com].
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