Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
This paper analyses multivariate high frequency financial data using realized 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 n...
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| Format: | Journal article |
| Language: | English |
| Published: |
Blackwell Publishing
2004
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