The DOI matches its Crossref record; 47 of the 47 references it cites were found in a registry or an index.
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Abstract
This paper analyses multivariate high frequency financial data using realized covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis, and covariance. It will be based on a fixed interval of time (e.g., a day or week), allowing the number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions, and covariances change through time. In particular we provide confidence intervals for each of these quantities.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
An Introduction to Multivariate Statistical Analysis
Muirhead, R. J., & Anderson, T. W. (1986) · Journal of Business & Economic Statistics · doi:10.2307/1391399 · Cited by 9,082
Doob, J. L., & Doob, J. L. (1953) · CERN Document Server (European Organization for Nuclear Research) · Cited by 9,053
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
A Theory of the Term Structure of Interest Rates
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985) · Econometrica · doi:10.2307/1911242 · Cited by 8,271
Brownian Motion and Stochastic Calculus
(2007) · Springer Finance · doi:10.1007/978-1-84628-696-4_13 · Cited by 7,422
Lintner, J. (1975) · Stochastic Optimization Models in Finance · doi:10.1016/b978-0-12-780850-5.50018-6 · Cited by 6,743
PE, & Billingsley, P. (1996) · Journal of the American Statistical Association · doi:10.2307/2291440 · Cited by 6,481
Cited by
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
Patton, A. J., & Sheppard, K. (2015) · Review of Economics and Statistics · doi:10.1162/rest_a_00503 · Cited by 769
McAleer, M., & Medeiros, M. C. (2008) · Econometric Reviews · doi:10.1080/07474930701853509 · Cited by 516
Exploiting the errors: A simple approach for improved volatility forecasting
Bollerslev, T., Patton, A. J., & Quaedvlieg, R. (2016) · Journal of Econometrics · doi:10.1016/j.jeconom.2015.10.007 · Cited by 444
Asset Fire Sales and Purchases and the International Transmission of Funding Shocks
JOTIKASTHIRA, C., LUNDBLAD, C., & RAMADORAI, T. (2012) · The Journal of Finance · doi:10.1111/j.1540-6261.2012.01780.x · Cited by 377
Analysis of high dimensional multivariate stochastic volatility models
Chib, S., Nardari, F., & Shephard, N. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.06.026 · Cited by 342
Self-citation
Metadata
- Authors
- Barndorff-Nielsen, O. E., & Shephard, N.
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 2004-05
- Volume
- 72
- Issue
- 3
- Pages
- 885-925
- ISSN
- 0012-9682 (ISSN-L)
- 1468-0262
- OpenAlex
- W2155804346
- Cited by
- 905
- References
- 47
- FWCI
- 60.37
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics. https://app.cochat.ai/papers/10.1111/j.1468-0262.2004.00515.x
- The paper
- Barndorff-Nielsen, O. E., & Shephard, N. (2004). Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics. Econometrica. https://doi.org/10.1111/j.1468-0262.2004.00515.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
