Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics

By Ole E. Barndorff-Nielsen, N. Shephard. 2001

781 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f5d5a0055db7671f147043c3a37fc61dae182210

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Citations in the corpus

ARMA representation of integrated and realized variances (2003, neutral): “…Heston (1993); the GARCH diffusion model of Nelson (1990); the CEV processes when the variance is square-integrable (Meddahi and Renault, 2002); the positive Ornstein–Uhlenbeck model of Barndorff-Nielsen and Shephard (2001); and the eigenfunction stochastic volatility (ESV) model of Meddahi (2001).”
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2008, neutral): “The no noise case of this statistic with no subsampling was introduced by Barndorff-Nielsen and Shephard (2004) and Barndorff-Nielsen and Shephard (2006) and studied in depth by BarndorffNielsen, Graversen, Jacod, and Shephard (2006).”
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2014, methodology): “These can be considered as the instantaneous counterparts to the integrated quantities studied, for example, in Andersen et al. (2003) and Barndorff-Nielsen and Shephard (2004).”
IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (2012, methodology): “We consider here the modified versions of the quantities vnr,l and w n defined in Barndorff-Nielsen and Shephard (2004a) because, by Theorem A.1, ṽnr,l and w̃ n exclude from the sums the terms affected by jumps.”
A Note on the Central Limit Theorem for Bipower Variation of General Functions. (2008, neutral): “Theoretical and empirical properties of the realised volatility have been discussed in numerous articles (see Jacod (1994), Jacod & Protter (1998), Andersen, Bollerslev, Diebold & Labys (1998), Andersen, Bollerslev & Diebold (2006), Barndorff-Nielsen & Shephard (2002, 2004a) among many others).”
Modelling and Forecasting Multivariate Realized Volatility (2011, methodology): “ Barndorff-Nielsen & Shephard (2004) and Andersen et al. (2001) propose the realized covariance matrix Yt as a consistent estimator of Ht.1 The Cholesky decomposition”
Measuring the impact of jumps in multivariate price processes using bipower covariation (2004, methodology): “…and Labys (2001) and Andersen, Bollerslev, Diebold, and Labys (2003), while central limit theories for the realised QV process and realised covariations were developed by Jacod (1994), Barndorff-Nielsen and Shephard (2002), Barndorff-Nielsen and Shephard (2004a) and Mykland and Zhang (2005).”
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011, methodology): “We refer here to the contributions of Goodhart and O’Hara (1997), Engle (2000), and Barndorff-Nielsen and Shephard (2004) and to the references in these papers.”
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY (2012, background): “Other related studies include: Barndorff-Nielsen and Shephard (2004a) who established asymptotic results for realized beta and Dovonon et al. (2013) who established the theory for bootstrap inference.”
Power Variation and Time Change (2006, positive): “This is discussed in Barndorff-Nielsen and Shephard (2002), Barndorff-Nielsen and Shephard (2003) and Barndorff-Nielsen and Shephard (2004).”
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice (2016, positive): “The use of highfrequency data to construct realized measures, based around the concept of quadratic variation, was first formalized in financial econometrics by Andersen et al. (2001) and Barndorff-Nielsen and Shephard (2002) in the context of univariate volatility.”
Bipower Variation for Gaussian Processes with Stationary Increments (2009, neutral): “The theory of bipower, and more generally multipower, variation has been developed out of questions raised in mathematical finance; for motivation, some first results, and applications, see [2], [3], [4], [5], [6], [8], [29], [30], [31], and [32].”
BOOTSTRAPPING REALIZED VOLATILITY (2009, background): “We can write a one-term Edgeworth expansion for the conditional distribution of T ∗ h as follows: P ∗ (T ∗ h ≤ x) = Φ (x) + √ h q∗ 1 (x)φ (x) +OP (h) , (13)”
A framework for assessing the systemic risk of major financial institutions (2009, background): “Additionally, if the price process is a continuous stochastic volatility semi-martingale, that is, when there is no jump in the price process, then Barndorff-Nielsen and Shephard (2004) show that ρ̂(kl),j is asymptotically conditionally normally distributed.”
A FUNCTIONAL VERSION OF THE ARCH MODEL (2011, background): “[18], Barndorff-Nielsen and Shephard [4], Zhang et al.”