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    Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances

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    Publication type
    Journal article with impact factor
    Author
    Vander Elst, Harry
    Veredas, David
    Publication Year
    2017
    Journal
    Journal of Financial Econometrics
    Publication Volume
    15
    Publication Issue
    1
    Publication Begin page
    106
    Publication End page
    138
    
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    Abstract
    We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under five data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that synchronizing with previous tick interpolation combined with the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances. A minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics.
    Keyword
    Accounting & Finance
    Knowledge Domain/Industry
    Accounting & Finance
    DOI
    10.1093/jjfinec/nbv020
    URI
    http://hdl.handle.net/20.500.12127/5208
    ae974a485f413a2113503eed53cd6c53
    10.1093/jjfinec/nbv020
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