, Correlation and Tails for Systemic Risk Measurement," Manuscript, NYU. -- Campbell, J.Y. and G.B. Tacksler (2003), "Equity …: Theory and Practice 1, Amsterdam, Holland, New York, NY and Oxford, UK: North-Holland Publishing Company, 203-26 -- Peter K …), January-March, 1-21 -- Robert Engle (2002), 'Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …