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

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  • Harry-Paul Vander Elst
  • David Veredas

Abstract

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Suggested Citation

  • Harry-Paul Vander Elst & David Veredas, 2014. "Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices," Working Papers ECARES ECARES 2014-35, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/174857
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/174857/1/2014-35-VANDERELST_VEREDAS-disentangled.pdf
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    References listed on IDEAS

    as
    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. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
    3. 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.
    4. Yiu Kuen Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometric Society World Congress 2000 Contributed Papers 0250, Econometric Society.
    5. Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012. "A blocking and regularization approach to high‐dimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(4), pages 625-645, June.
    6. 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.
    7. 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.
    8. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
    9. 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.
    10. Falk, Michael, 1998. "A Note on the Comedian for Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 306-317, November.
    11. 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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    Cited by:

    1. Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.

    More about this item

    Keywords

    realized measures; noise; jumps; synchronization;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

    NEP fields

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