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Outlyingness weighted covariation

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Organization
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.
Keywords
REALIZED VOLATILITY, DETERMINANT ESTIMATOR, JUMPS, MODELS, DIFFUSION, MATRIX, continuous-time methods, high-frequency data, jump robustness, quadratic, covariation, realized covolatility, C22, C32

Citation

Please use this url to cite or link to this publication:

MLA
Boudt, Kris, Christophe Croux, and Sebastien Laurent. “Outlyingness Weighted Covariation.” JOURNAL OF FINANCIAL ECONOMETRICS 9.4 (2011): 657–684. Print.
APA
Boudt, K., Croux, C., & Laurent, S. (2011). Outlyingness weighted covariation. JOURNAL OF FINANCIAL ECONOMETRICS, 9(4), 657–684.
Chicago author-date
Boudt, Kris, Christophe Croux, and Sebastien Laurent. 2011. “Outlyingness Weighted Covariation.” Journal of Financial Econometrics 9 (4): 657–684.
Chicago author-date (all authors)
Boudt, Kris, Christophe Croux, and Sebastien Laurent. 2011. “Outlyingness Weighted Covariation.” Journal of Financial Econometrics 9 (4): 657–684.
Vancouver
1.
Boudt K, Croux C, Laurent S. Outlyingness weighted covariation. JOURNAL OF FINANCIAL ECONOMETRICS. 2011;9(4):657–84.
IEEE
[1]
K. Boudt, C. Croux, and S. Laurent, “Outlyingness weighted covariation,” JOURNAL OF FINANCIAL ECONOMETRICS, vol. 9, no. 4, pp. 657–684, 2011.
@article{8600230,
  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.},
  author       = {Boudt, Kris and Croux, Christophe and Laurent, Sebastien},
  issn         = {1479-8409},
  journal      = {JOURNAL OF FINANCIAL ECONOMETRICS},
  keywords     = {REALIZED VOLATILITY,DETERMINANT ESTIMATOR,JUMPS,MODELS,DIFFUSION,MATRIX,continuous-time methods,high-frequency data,jump robustness,quadratic,covariation,realized covolatility,C22,C32},
  language     = {eng},
  number       = {4},
  pages        = {657--684},
  title        = {Outlyingness weighted covariation},
  url          = {http://dx.doi.org/10.1093/jjfinec/nbr003},
  volume       = {9},
  year         = {2011},
}

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