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 |
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Blackwell Publishing
2004
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| _version_ | 1826298486237167616 |
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| author | Barndorff-Nielsen, O Shephard, N |
| author2 | Econometric Society |
| author_facet | Econometric Society Barndorff-Nielsen, O Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | 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 number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions, and covariances change through time. In particular we provide confidence intervals for each of these quantities. |
| first_indexed | 2024-03-07T04:47:35Z |
| format | Journal article |
| id | oxford-uuid:d3d7d8de-655f-4a61-a825-d777f9cb80e3 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T04:47:35Z |
| publishDate | 2004 |
| publisher | Blackwell Publishing |
| record_format | dspace |
| spelling | oxford-uuid:d3d7d8de-655f-4a61-a825-d777f9cb80e32022-03-27T08:14:03ZEconometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economicsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:d3d7d8de-655f-4a61-a825-d777f9cb80e3EconometricsEconomicsEnglishOxford University Research Archive - ValetBlackwell Publishing2004Barndorff-Nielsen, OShephard, NEconometric SocietyThis 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 number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions, and covariances change through time. In particular we provide confidence intervals for each of these quantities. |
| spellingShingle | Econometrics Economics Barndorff-Nielsen, O Shephard, N Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics |
| title | Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics |
| title_full | Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics |
| title_fullStr | Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics |
| title_full_unstemmed | Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics |
| title_short | Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics |
| title_sort | econometric analysis of realised covariation high frequency based covariance regression and correlation in financial economics |
| topic | Econometrics Economics |
| work_keys_str_mv | AT barndorffnielseno econometricanalysisofrealisedcovariationhighfrequencybasedcovarianceregressionandcorrelationinfinancialeconomics AT shephardn econometricanalysisofrealisedcovariationhighfrequencybasedcovarianceregressionandcorrelationinfinancialeconomics |