Skip to main content
Enter your keywords
Search
Menu
Secondary Menu
News
Events
Economics Department
About Us
Location & Directions
Our Newsletter
EcoTeach Center
Undergraduate
Career Paths
Majors & Minors
B.S. in Economics
B.S. in Economics, Finance Concentration
B.A. in Economics
Economics Minor
Finance Minor
FAQs for New Econometrics Sequence
For Current Students
Placement & Enrollment
First-Year Students
Major Declaration & Registration
Advising
Tutoring & Support Services
Independent Study
Study Away
Honors Program
Guides & Forms
Instructions, Dates, Resources & Templates
Showcases, Awards & Past Theses
Graduation Certification
Finance Courses, Programs & Activities
Work-Study Jobs, Internships & Funding
Commonly Used Forms
Economics Student Union
Duke Journal of Economics
EcoTeach Center
Master's
Degree Programs
M.A. Economics
M.A. En Route to Ph.D.
M.A. Analytical Political Economy
DevLab@Duke Fellows
M.S. Economics & Computation
M.S. Quantitative Financial Economics
For Prospective Students
Application Instructions & Review Process
Applicant Qualifications & Admissions Statistics
Admissions FAQs
Information Sessions
Campus Visits
Placements
Financial Aid
Graduate Life
For Current Students
Master's Capstone Courses
Advising & Your Committee
Internships
Language Requirement
Portfolio
Resources
Career Resources
English Language Resources
On-Campus RA Jobs
Writing Resources
Student Grievance Process
EcoTeach Center
Master's Alumni Advisory Board
Ph.D.
Ph.D. Requirements
Fields of Study
Year-by-Year Overview
For Prospective Students
Application Instructions & Review Process
Applicant Qualifications & Admissions Statistics
Admissions FAQs
Financial Support
Job Market Placements
Graduate Life
For Current Students
Year-By-Year Overview
Qualifying Exam
Field Exam
Preliminary Exam
Job Market Paper
Dissertation
Final Exam
Modules, Seminars & Workshops
Research & Travel Funding
Teaching Assistant Resources
Student Grievance Process
EcoTeach Center
Job Market Candidates
Courses
All Courses
Core Undergrad Economics Courses
Undergrad Electives by Field Area
Ph.D. Modules, Seminars & Workshops
People
Regular Rank Faculty
Secondary Faculty
Instructional Faculty
Emeritus Faculty
Staff
Affiliates
Graduate Students
MAE Students
MAPE Students
MQFE Students
MSEC Students
PhD Students
1st Year PhD Students
2nd Year PhD Students
3rd Year PhD Students
4th Year PhD Students
Doctoral Candidates
Research
Research Fields
Development
Econometrics
Energy & Environment
History of Political Economy
Industrial Organization
International Economics & Trade
Labor & Health
Macroeconomics & Finance
Microeconomic Theory
Public & Political Economy
Research Initiatives
Visitors Program Speakers
Working Paper Series
Journals & Editorships
Featured Publications
Selected Faculty Books
Center for the History of Political Economy
Duke Financial Economics Center
Alumni
For Our Students
For Our Alumni
Assisting Duke Students
Contribute
Realized Semicovariances
Authors
Bollerslev, T; Li, J; Patton, AJ; Quaedvlieg, R
Abstract
© 2020 The Econometric Society 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 resulting realized semicovariance measures 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.
Citation
Bollerslev, T., J. Li, A. J. Patton, and R. Quaedvlieg. “
Realized Semicovariances
.” Econometrica 88, no. 4 (July 1, 2020): 1515–51.
https://doi.org/10.3982/ECTA17056
.
Publication Links
Full Text
Open Access Copy
About Us
Location & Directions
Our Newsletter
EcoTeach Center
Undergraduate
Career Paths
Majors & Minors
B.S. in Economics
B.S. in Economics, Finance Concentration
B.A. in Economics
Economics Minor
Finance Minor
FAQs for New Econometrics Sequence
For Current Students
Placement & Enrollment
First-Year Students
Major Declaration & Registration
Advising
Tutoring & Support Services
Independent Study
Study Away
Honors Program
Guides & Forms
Instructions, Dates, Resources & Templates
Showcases, Awards & Past Theses
Graduation Certification
Finance Courses, Programs & Activities
Work-Study Jobs, Internships & Funding
Commonly Used Forms
Economics Student Union
Duke Journal of Economics
EcoTeach Center
Master's
Degree Programs
M.A. Economics
M.A. En Route to Ph.D.
M.A. Analytical Political Economy
DevLab@Duke Fellows
M.S. Economics & Computation
M.S. Quantitative Financial Economics
For Prospective Students
Application Instructions & Review Process
Applicant Qualifications & Admissions Statistics
Admissions FAQs
Information Sessions
Campus Visits
Placements
Financial Aid
Graduate Life
For Current Students
Master's Capstone Courses
Advising & Your Committee
Internships
Language Requirement
Portfolio
Resources
Career Resources
English Language Resources
On-Campus RA Jobs
Writing Resources
Student Grievance Process
EcoTeach Center
Master's Alumni Advisory Board
Ph.D.
Ph.D. Requirements
Fields of Study
Year-by-Year Overview
For Prospective Students
Application Instructions & Review Process
Applicant Qualifications & Admissions Statistics
Admissions FAQs
Financial Support
Job Market Placements
Graduate Life
For Current Students
Year-By-Year Overview
Qualifying Exam
Field Exam
Preliminary Exam
Job Market Paper
Dissertation
Final Exam
Modules, Seminars & Workshops
Research & Travel Funding
Teaching Assistant Resources
Student Grievance Process
EcoTeach Center
Job Market Candidates
Courses
All Courses
Core Undergrad Economics Courses
Undergrad Electives by Field Area
Ph.D. Modules, Seminars & Workshops
People
Regular Rank Faculty
Secondary Faculty
Instructional Faculty
Emeritus Faculty
Staff
Affiliates
Graduate Students
MAE Students
MAPE Students
MQFE Students
MSEC Students
PhD Students
1st Year PhD Students
2nd Year PhD Students
3rd Year PhD Students
4th Year PhD Students
Doctoral Candidates
Research
Research Fields
Development
Econometrics
Energy & Environment
History of Political Economy
Industrial Organization
International Economics & Trade
Labor & Health
Macroeconomics & Finance
Microeconomic Theory
Public & Political Economy
Research Initiatives
Visitors Program Speakers
Working Paper Series
Journals & Editorships
Featured Publications
Selected Faculty Books
Center for the History of Political Economy
Duke Financial Economics Center
Alumni
For Our Students
For Our Alumni
Assisting Duke Students
Contribute
News
Events