Cross-correlation Measures in the High-frequency Domain
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- Precup, O. V. & Iori, G., 2005. "Cross-correlation measures in the high-frequency domain," Working Papers 05/04, Department of Economics, City University London.
References listed on IDEAS
- G. Bonanno & F. Lillo & R. N. Mantegna, 2001.
"High-frequency cross-correlation in a set of stocks,"
Taylor & Francis Journals, vol. 1(1), pages 96-104.
- Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2000. "High-frequency Cross-correlation in a Set of Stocks," Papers cond-mat/0009350, arXiv.org, revised Nov 2000.
- Onnela, J.-P. & Chakraborti, A. & Kaski, K. & Kertész, J., 2003. "Dynamic asset trees and Black Monday," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 247-252.
- 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.
- Maria Elvira Mancino & Paul Malliavin, 2002. "Fourier series method for measurement of multivariate volatilities," Finance and Stochastics, Springer, vol. 6(1), pages 49-61.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers 06/09, Department of Economics, City University London.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics,"
2005-W16, Economics Group, Nuffield College, University of Oxford.
- 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.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.
- 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).
- Iori, G. & Precup, O. V., 2006. "Weighted network analysis of high frequency cross-correlation measures," Working Papers 06/10, Department of Economics, City University London.
- Nicolas Huth & Frédéric Abergel, 2010. "High frequency correlation modelling," Post-Print hal-00621244, HAL.
More about this item
KeywordsHigh-frequency correlation; Fourier method; co-volatility weighting; Epps effect;
StatisticsAccess and download statistics
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