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...

One can consider the concept of market neutrality as having quot;breadthquot; and quot;depthquot;: quot;Breadthquot; reflects the number of market risks to which the hedge fund is neutral, while quot;depthquot; reflects the quot;completenessquot; of the neutrality of the fund to market risks. We...