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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Author(s) -
BarndorffNielsen Ole E.,
Shephard Neil
Publication year - 2004
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.1111/j.1468-0262.2004.00515.x
Subject(s) - covariance , econometrics , confidence interval , statistics , mathematics , regression , multivariate statistics , correlation , regression analysis , frequency analysis , economics , covariance and correlation , random variable , geometry , convergence of random variables , sum of normally distributed random variables
This paper analyses multivariate high frequency financial data using realized 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.