Jump robust two time scale covariance estimation and realized volatility budgets
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- repec:eee:ecosta:v:3:y:2017:i:c:p:91-111 is not listed on IDEAS
- repec:eee:finmar:v:37:y:2018:i:c:p:97-119 is not listed on IDEAS
- repec:eee:intfor:v:33:y:2017:i:3:p:729-742 is not listed on IDEAS
- Barunik, Jozef & Vacha, Lukas, 2018.
"Do co-jumps impact correlations in currency markets?,"
Journal of Financial Markets,
Elsevier, vol. 37(C), pages 97-119.
- Jozef Barunik & Lukas Vacha, 2016. "Do co-jumps impact correlations in currency markets?," Papers 1602.05489, arXiv.org, revised Oct 2017.
- Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016. "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, Open Access Journal, vol. 4(2), pages 1-15, June.
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