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An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models.

Abstract:

This paper introduces a new estimator to measure the ex-post covariation between high-frequency financial time series under market microstructure noise. We provide anasymptotic limit theory (including feasible central limit theorems) for standard methods such as regression, correlation analysis and covariance, for which we obtain the optimal rate of convergence. We demonstrate some positive semidefinite estimators of the covariation and construct a positive semidefinite estimator of the condi...

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Volume:
2008OMI13
Series:
Working Papers
Publication date:
2008-01-01
URN:
uuid:b7e8fd75-6f9c-4bd8-9cff-d58a7a383267
Local pid:
oai:economics.ouls.ox.ac.uk:13018
Language:
English

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