Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics

Ole Barndorff-Nielsen and Neil Shephard ()

No 2002-W13, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: 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 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.

Keywords: Power variation; Realised correlation; Realised covolatility; Realised regression; Realised variance; Semimartingales; Covolatility (search for similar items in EconPapers)
Pages: 42 pages
Date: 2001-11-01, Revised 2002-03-18
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (27)

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Related works:
Working Paper: Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics (2002)
Working Paper: Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0213

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