We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …

We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …

We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …

In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding … how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among … stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the …

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of …

with a sliding windows approach) and detrended cross-correlation analysis and the respective correlation coefficient. We … correlations. For higher time scales, Ripple is the only cryptocurrency with significant correlation. …