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This paper proposes a consistent estimator for the realized covariance of high frequency and asynchronous assets' returns that are contaminated by microstructure noise. The main contribution is the introduction of the pseudoaggregation which transforms the observations into series with the same...
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components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The …
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volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding …% and at least 78%). The results on the GMV portfolios show that realized covariance models exhibit lower ex-post volatility …
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