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Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices

Listed author(s):
  • Harry-Paul Vander Elst
  • David Veredas

No abstract is available for this item.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/174857/1/2014-35-VANDERELST_VEREDAS-disentangled.pdf
File Function: 2014-35-VANDERELST_VEREDAS-disentangled
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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2014-35.

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Length: 34 p.
Date of creation: Aug 2014
Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/174857
Contact details of provider: Postal:
Av. F.D., Roosevelt, 39, 1050 Bruxelles

Phone: (32 2) 650 30 75
Fax: (32 2) 650 44 75
Web page: http://difusion.ulb.ac.be

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References listed on IDEAS
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  1. Roxana Halbleib & Valerie Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Papers ECARES ECARES 2011-002, ULB -- Universite Libre de Bruxelles.
  2. Christophe Croux & Catherine Dehon, 2010. "Influence functions of the Spearman and Kendall correlation measures," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(4), pages 497-515, November.
  3. Y.K. Tse & Albert K.C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometrics 0004007, EconWPA.
  4. Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012. "A blocking and regularization approach to high‚Äźdimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(4), pages 625-645, 06.
  5. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
  6. deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 563-579, December.
  7. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  8. Falk, Michael, 1998. "A Note on the Comedian for Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 306-317, November.
  9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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