Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics.
This paper analyses multivariate high frequency financial data using realised covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis and covariance. It will be based on a fixed interval of time (e.g. a day or week), allowing the num...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2001
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