Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
Publication information:
Barndorff-Neilsen, Ole, Sven Erik Graversen, and Neil Shephard. 2004. “Econometric Analysis of Realised Covariation: High Frequency Based Covariance, Regression and Correlation in Financial Economics”. Econometrica 72: 885-9225.