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 …

In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for … covariance and correlation swaps in a market with two risky assets …

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

by bearish trend in Indonesia's equity market. Though the explanation of this correlation is known mostly due to foreign … capital flow in the equity market (hot money), it appears that correlation risk between currency rates, with mostly impacted … study will show how the cross-asset correlation between Indonesia's Rupiah strength and capital market behaves along time …