Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
Nuffield College, Oxford, Working Paper No. 2002-W13
42 Pages Posted: 3 Jun 2002
Date Written: March 18, 2002
This paper analyses multivariate high frequency financial data using realised covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis and covariance. It will be based on a fixed interval of time (e.g. a day or week), allowing the number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions and covariances change through time. In particular we provide confidence intervals for each of these quantities.
Keywords: Power variation, Realised correlation, Realised covolatility, Realised regression, Realised variance, Semimartingales, Covolatility.
Suggested Citation: Suggested Citation