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Robust Estimation of Realized Correlation: New Insights about Intraday Fluctuations in Market Betas

Hansen, Peter Reinhard et al.
arXiv (All) · Papers
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applicationseconometricsstatistical-finance
Time-varying volatility is an inherent feature of economic time series and complicates correlation measurement at high frequencies. While the quadrant correlation estimator is robust to volatility dynamics, it has low efficiency under Gaussian sampling. We introduce a subsampled quadrant correlation
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