Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/186040 
Autor:innen: 
Erscheinungsjahr: 
2014
Quellenangabe: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 150 [Issue:] 3 [Publisher:] Springer [Place:] Heidelberg [Year:] 2014 [Pages:] 191-226
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
This paper argues that the inherent data problems make precise point identification of realized correlation difficult but identification bounds in the spirit of Manski (1995) can be derived. These identification bounds allow for a more robust approach to inference especially when the realized correlation is used for estimating other risk measures. We forecast the identification bounds using the HAR model of Corsi (2003) using data during the year of onset of the credit crisis and find that the bounds provide good predictive coverage of the realized correlation for both 1- and 10-step forecasts even in volatile periods.
Schlagwörter: 
High frequency data
realized covariance
partial identification
Bounds
JEL: 
C14
C18
C58
G17
Persistent Identifier der Erstveröffentlichung: 
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