Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics

Barndorff-Nielsen, Ole E., Shephard, Neil . Econometrica 2004. 72 (3) :885-925

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Bibtex

@article{CIS-188518,
  Author = {Barndorff-Nielsen, Ole E. and Shephard, Neil},
  Title = {Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics},
  Journal = {Econometrica},
  Volume = {72},
  Number = {3},
  Year = {2004},
  Pages = {885--925},
  Keywords = {Semimartingales, power variation, realized correlation, realized covolatility, realized regression, ralized variance, covolatility}
}

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