Econometric analysis of realised covariation: high
frequency covariance, regression and correlation in financial economics
Ole E. Barndorff-Nielsen,
Neil Shephard
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.
Appeared in Econometrica,
2004, 72, 885-925.
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