Title: Outlyingness weighted covariation
Authors: Boudt, Kris ×
Croux, Christophe
Laurent, S. #
Issue Date: 2011
Publisher: Oxford University Press
Series Title: Journal of Financial Econometrics vol:9 issue:4 pages:657-684
Abstract: Quadratic covariation is a popular descriptive measure for the volatility of a multivariate price process. It is consistently estimated by the sum of outer products of high-frequency returns. The proposed realized outlyingness weighted covariation (ROWCov) is a weighted sum of outer products of high-frequency returns and downweights returns that, because of jumps or other reasons, are outliers under the Brownian semimartingale model. The ROWCov is positive semidefinite and remains consistent for the integrated covariance in the presence of a finite-activity jump process. We illustrate the usefulness of the estimator on five-minute returns on the transaction prices of the Dow Jones Industrial Average constituents.
ISSN: 1479-8409
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
Research Center Finance, Leuven
Leuven Statistics Research Centre (LStat)
Faculty of Economics and Business (FEB) - miscellaneous
Department of Financial Management, Campus Carolus Antwerp
× corresponding author
# (joint) last author

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