Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices

Harry Vander Elst () and David Veredas

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Keywords: realized measures; noise; jumps; synchronization (search for similar items in EconPapers)
JEL-codes: C50 (search for similar items in EconPapers)
Pages: 34 p.
Date: 2014-08
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/1748 ... DAS-disentangled.pdf 2014-35-VANDERELST_VEREDAS-disentangled (application/pdf)

Related works:
Working Paper: Disentangled jump-robust realized covariances and correlations with non-synchronous prices (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2013/174857

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/174857

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().