Realized semicovariances

• Main Authors: Bollerslev, Tim, LI, Jia, Patton, Andrew J., Quaedvlieg, Rogier
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: High-frequency data; realized variances; semicovariances; co-jumps; volatility forecasting; Econometrics
• 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
• Institution: Singapore Management University

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...