Safari, Amir; Seese, Detlef - In: International Econometric Review (IER) 2 (2010) 2, pp. 73-96
correlation. We investigate measures of Two-Scale realized Absolute Volatility (TSAV) and correlation (TSACORxy) which are helpful …We study time-varying realized volatility and related correlation measures as proxies for the true volatility and … upside co-movements are greater than downside ones. Moreover we study the association between realized volatility and …