Cross-correlation Measures in the High-frequency Domain
Author
Abstract
Suggested Citation
DOI: 10.1080/13518470600813565
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- de Jong, Frank & Nijman, Theo, 1997.
"High frequency analysis of lead-lag relationships between financial markets,"
Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June.
- de Jong, F.C.J.M. & Nijman, T.E., 1995. "High frequency analysis of lead-lag relationships between financial markets," Discussion Paper 1995-34, Tilburg University, Center for Economic Research.
- Nijman, T.E. & de Jong, F.C.J.M., 1997. "High frequency analysis of lead-lag relationships between financial markets," Other publications TiSEM f4f406a0-771a-4af2-9364-6, Tilburg University, School of Economics and Management.
- Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July.
- Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andreea B. Dragut, 2012. "Stock Data Clustering and Multiscale Trend Detection," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 87-105, March.
- Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Using the Epps effect to detect discrete processes," Papers 2005.10568, arXiv.org, revised Oct 2021.
- S. Sanfelici & M. E. Mancino, 2008. "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers 2008-ME01, Department of Economics, Parma University (Italy).
- Patrick Chang & Roger Bukuru & Tim Gebbie, 2019. "Revisiting the Epps effect using volume time averaging: An exercise in R," Papers 1912.02416, arXiv.org, revised Feb 2020.
- Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms," Papers 2003.02842, arXiv.org, revised Nov 2020.
- Chang, Patrick & Pienaar, Etienne & Gebbie, Tim, 2021. "The Epps effect under alternative sampling schemes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
- repec:cty:dpaper:06/10 is not listed on IDEAS
- Nicolas Huth & Frédéric Abergel, 2010. "High frequency correlation modelling," Post-Print hal-00621244, HAL.
- Xiufeng Yan & Qi Tang, 2021. "Network analysis regarding international trade network," Papers 2111.02633, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Precup, Ovidiu V. & Iori, Giulia, 2004. "A comparison of high-frequency cross-correlation measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 252-256.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005.
"Volatility Forecasting,"
PIER Working Paper Archive
05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- repec:cty:dpaper:05/04 is not listed on IDEAS
- S. Sanfelici & M. E. Mancino, 2008. "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers 2008-ME01, Department of Economics, Parma University (Italy).
- Andersson, Jonas, 2007. "On the estimation of correlations for irregularly spaced time series," Discussion Papers 2007/19, Norwegian School of Economics, Department of Business and Management Science.
- Griffin, Jim E. & Oomen, Roel C.A., 2011. "Covariance measurement in the presence of non-synchronous trading and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 58-68, January.
- Noussair, C.N. & Tucker, S. & Xu, Yilong, 2014.
"A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders,"
Other publications TiSEM
43ded173-9eee-48a4-8a15-6, Tilburg University, School of Economics and Management.
- Noussair, C.N. & Tucker, S. & Xu, Yilong, 2014. "A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders," Discussion Paper 2014-051, Tilburg University, Center for Economic Research.
- Charles Noussair & Steven J.Tucker & Yilong Xu, 2014. "A Futures Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders," Working Papers in Economics 14/12, University of Waikato.
- Takaki Hayashi & Yuta Koike, 2017. "No arbitrage and lead-lag relationships," Papers 1712.09854, arXiv.org.
- Ozcan Ceylan, 2015.
"Limited information-processing capacity and asymmetric stock correlations,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
- Ceylan, Ozcan, 2010. "Limited Information-Processing Capacity and Asymmetric Stock Correlations," MPRA Paper 61587, University Library of Munich, Germany.
- Lepone, Andrew & Yang, Jin Young, 2013. "Informational role of market makers: The case of exchange traded CFDs," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 84-92.
- Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
- deB. Harris, Frederick H. & McInish, Thomas H. & Wood, Robert A., 2002. "Security price adjustment across exchanges: an investigation of common factor components for Dow stocks," Journal of Financial Markets, Elsevier, vol. 5(3), pages 277-308, July.
- Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010.
"Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 116-133, November.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers 2009-45, Department of Economics and Business Economics, Aarhus University.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print hal-00732537, HAL.
- Patrick Chang & Roger Bukuru & Tim Gebbie, 2019. "Revisiting the Epps effect using volume time averaging: An exercise in R," Papers 1912.02416, arXiv.org, revised Feb 2020.
- Covrig, Vicentiu & Melvin, Michael, 2002. "Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 271-285, August.
- Gupta, Kartikay & Chatterjee, Niladri, 2020. "Selecting stock pairs for pairs trading while incorporating lead–lag relationship," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
- Christian Upper & Thomas Werner, 2002. "How resilient are financial markets to stress? Bund futures and bonds during the 1998 turbulence," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 110-123, Bank for International Settlements.
- Fulvio Corsi & Stefano Peluso & Francesco Audrino, 2015.
"Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(3), pages 377-397, April.
- Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012. "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series 1202, University of St. Gallen, School of Economics and Political Science.
- Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 533-558, December.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics,"
OFRC Working Papers Series
2005fe08, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus & Denmark, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.
More about this item
Keywords
High-frequency correlation; Fourier method; co-volatility weighting; Epps effect;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:13:y:2007:i:4:p:319-331. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REJF20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.