the average cross-responses are compared with the self-responses. In contrast, the short memory of trade sign cross-correlation … for stock pairs, the sign cross-correlation has long memory when averaged over different pairs of stocks …

investment on price dynamics. This captures the fact that financial correlation determine the optimal portfolio but are affected …

, a state-dependent diffusion correlation combined with heterogeneity in jump intensities and volatilities can, e …

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 su fficiently risk averse, however, the cross-correlation pattern is inverted. We derive model …