Realized semicovariances
We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns, and we derive the asymptotic properties of the resulting realized semicovariance measures as the sampling interval goes to zero. The first-order asymptotic result...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2588 https://ink.library.smu.edu.sg/context/soe_research/article/3587/viewcontent/Realized_Semicovariances_pv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |