Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10010442441
Persistent link: https://www.econbiz.de/10010442477
We propose a new decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns. Under an asymptotic setting in which the sampling interval goes to zero, we derive the asymptotic properties of the resulting realized semicovariance...
Persistent link: https://www.econbiz.de/10012116691
Persistent link: https://www.econbiz.de/10003959796
Persistent link: https://www.econbiz.de/10003849492
Persistent link: https://www.econbiz.de/10009667370
Persistent link: https://www.econbiz.de/10009559404
Persistent link: https://www.econbiz.de/10009559443
Persistent link: https://www.econbiz.de/10009560379
Persistent link: https://www.econbiz.de/10009785804