distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation …

weight functions. We also include the analysis for the Hayashi-Yoshida estimator in absence of microstructure. The theory …

. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across … position. Correlation alone is not informative on the distributional details of the assets. By introducing TEDAS -Tail Event … active risk factors, an adjustment for intertemporal correlation is made. Finally, the asset allocation weights are …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …