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dc.contributor.authorVander Elst, Harry
dc.contributor.authorVeredas, David
dc.date.accessioned2017-12-02T14:53:15Z
dc.date.available2017-12-02T14:53:15Z
dc.date.issued2017
dc.identifier.doi10.1093/jjfinec/nbv020
dc.identifier.urihttp://hdl.handle.net/20.500.12127/5208
dc.description.abstractWe 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.
dc.language.isoen
dc.subjectAccounting & Finance
dc.titleSmoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances
dc.identifier.journalJournal of Financial Econometrics
dc.source.volume15
dc.source.issue1
dc.source.beginpage106
dc.source.endpage138
vlerick.knowledgedomainAccounting & Finance
vlerick.typearticleJournal article with impact factor
vlerick.vlerickdepartmentA&F
dc.identifier.vperid191998
dc.identifier.vperid181874
dc.identifier.vpubid6457


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