Realized Semicovariances

• 成果类型: Article
• 署名作者: Bollerslev, Tim; Li, Jia; Patton, Andrew J.; Quaedvlieg, Rogier
• 署名单位: Duke University; National Bureau of Economic Research; CREATES; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA17056
• 发表日期: 2020
• 页码: 1515-1551
• 关键词: DIFFUSION-COEFFICIENT; financial-markets; volatility; jumps; models; RISK; covariation; dependence; components; regression

摘要

We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns, and we derive the asymptotic properties of the resultingrealized semicovariancemeasures as the sampling interval goes to zero. The first-order asymptotic results highlight how the same-sign and mixed-sign components load differently on economic information related to stochastic correlation and jumps. The second-order asymptotic results reveal the structure underlying the same-sign semicovariances, as manifested in the form of co-drifting and dynamic leverage effects. In line with this anatomy, we use data on a large cross-section of individual stocks to empirically document distinct dynamic dependencies in the different realized semicovariance components. We show that the accuracy of portfolio return variance forecasts may be significantly improved by exploiting the information in realized semicovariances.