Template-type: ReDIF-Paper 1.0
Author-Name:Ole E. Barndorff-Nielsen 
Author-Email: oebn@mi.aau.dk 
Author-Workplace-Name:The Centre for Mathematical Physics and Stochastics (MaPhySto), University of Aarhus
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Homepage: http://www.nuff.ox.ac.uk/users/shephard/
Author-Workplace-Name:Nuffield College, Oxford
Author-Workplace-Homepage:http://www.nuff.ox.ac.uk/
Title: Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
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
Length:42 pages
Creation-Date: 2001-11-01
Revision-Date: 2002-03-18
Number:2002-W13
File-URL:http://www.nuff.ox.ac.uk/economics/papers/2002/w13/mult.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0213