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A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns

Peluso, Stefano ; Corsi, Fulvio ; Mira, Antonietta

In: Journal of Financial Econometrics, 2015, vol. 13, no. 3, p. 665-697

Measuring and modelling realized volatility : from tick-by-tick to long memory

Corsi, Fulvio ; Barone Adesi, Giovanni (Dir.) ; Audrino, Francesco (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO004.

This study develops new realized volatility and correlation estimators which, while fully exploiting all the available information contained in tick-by-tick data, effectively correct for the bias induced by microstructure effects. Building on such high frequency measures, it also proposes new conditional volatility models able to provide accurate and easy-to-implement volatility forecasts.