Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics

Neil Shephard and Ole Barndorff-Nielsen

No 2002-FE-03, Economics Series Working Papers from University of Oxford, Department of Economics

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)
Date: 2002-03-01
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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:oxf:wpaper:2002-fe-03

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