Jump robust daily covariance estimation by disentangling variance and correlation components

Author:

Boudt Kris,Cornelissen Jonathan,Croux Christophe

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference43 articles.

1. Propagation of outliers in multivariate data;Alqallaf;Annals of Statistics,2009

2. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997

3. Roughing it up: including jump components in the measurement, modelling and forecasting of return volatility;Andersen;The Review of Economics and Statistics,2007

4. Andersen, T.G., Dobrev, D., Schaumburg, E., 2010. Jump-robust volatility estimation using nearest neighbor truncation. NBER Working Paper No. 15533.

5. Arnold, M., Bissantz, N., Wied, D., Ziggel, D., 2010. A new online-test for changes in correlations between assets. SFB823 Discussion Paper 34/10.

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