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

See all articles by Ole E. Barndorff-Nielsen

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences

Neil Shephard

Harvard University

Date Written: March 18, 2002

Abstract

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

Barndorff-Nielsen, Ole E. and Shephard, Neil, Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics (March 18, 2002). Nuffield College, Oxford, Working Paper No. 2002-W13. Available at SSRN: https://ssrn.com/abstract=305583 or http://dx.doi.org/10.2139/ssrn.305583

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences ( email )

Ny Munkegade
Aarhus, DK 8000
Denmark

Neil Shephard (Contact Author)

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

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