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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

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Institution:
University of Aarhus
Department:
Department of Mathematical Sciences
Role:
Author
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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Econometrics
Oxford college:
Nuffield College
Role:
Author

Contributors

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Funding agency for:
Barndorff-Nielsen, O
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Funding agency for:
Barndorff-Nielsen, O
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
Language:
English
Keywords:
Subjects:
UUID:
uuid:d3d7d8de-655f-4a61-a825-d777f9cb80e3
Local pid:
ora:2059
Deposit date:
2008-06-13

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