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 …

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 …

Inter-Quantile-Range-based volatility (IQRBV), to estimate the integrated daily volatility. As the range-based volatility …

are surprisingly rare. As a result, serial correlation in returns data requires an adjustment to the annualised volatility … fail to adjust for serial correlation in fund, index and relative return data. The standard deviation of daily, weekly and … returns is multiplied by the square root of the frequency of the data in order to arrive at an annualised volatility or σ …

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

methods are then compared using backtesting procedures. Practical issues such as time varying volatility of returns, and …