Peter Reinhard Hansen, Yiyao Luo
arXiv 30 Oct 2023 · Econometrics · 3 citations (OpenAlex)
arXiv:2310.19992 · PDF · DOI · OpenAlex · Extracted main text
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is consistent but very inefficient. We propose a novel subsampled quadrant estimator that improves efficiency while preserving consistency and robustness. This estimator is particularly well-suited for high-frequency financial data and we apply it to a large panel of US stocks. Our empirical analysis sheds new light on intra-day fluctuations in market betas by decomposing them into time-varying correlations and relative volatility changes. Our results show that intraday variation in betas is primarily driven by intraday variation in correlations.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Mancini (2009) `Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps', Scandinavian Journal of Statis… | 0.843 | 4 | 4 | 75% |
| 2 | Barndorff-Nielsen, Hansen, Lunde \ Shephard (2011) `Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and… | 0.843 | 3 | 3 | 100% |
| 3 | Andersen, Dobrev \ Schaumburg (2012) `Jump-robust volatility estimation using nearest neighbor truncation', Journal of Econometrics 169, 75–93 | 0.737 | 3 | 3 | 67% |
| 4 | Andersen, Thyrsgaard \ Todorov (2021) `Recalcitrant betas: Intraday variation in the cross-sectional dispersion of systematic risk', Quantitative Economics 12, 647–682 | 0.737 | 3 | 2 | 100% |
| 5 | Hansen \ Lunde (2006) `Realized Variance and Market Microstructure Noise', Journal of Business and Economic Statistics 24, 127–161 | 0.737 | 3 | 2 | 100% |
| zhang-mykland-aitsahalia:05 | unmatched citation key zhang-mykland-aitsahalia:05 | 0.737 | 3 | 2 | 100% |
| 7 | Ait-Sahalia, Fan \ Xiu (2010) `High-frequency covariance estimates with noisy and asynchronous financial data', Journal of the American Statistical Associatio… | 0.644 | 2 | 2 | 100% |
| 8 | Barndorff-Nielsen, Hansen, Lunde \ Shephard (2011) `Subsampling realised kernels', Journal of Econometrics 160, 204–219 | 0.644 | 2 | 2 | 100% |
| 9 | Barndorff-Nielsen, Hansen, Lunde \ Shephard (2008) `Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise', Econometrica 76, 1481–536 | 0.644 | 2 | 2 | 100% |
| 10 | Bandi \ Russell (2006) `Separating microstructure noise from volatility', Journal of Financial Economics 79, 655–692 | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 73 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A nonparametric test for diurnal variation in spot correlation processes | 0.843 | 3 | 3 |
| 2 | A Robust Similarity Estimator | 0.644 | 2 | 2 |
| 3 | The Generalized Fisher Transformation: Finite-Sample Properties and Inference | 0.405 | 1 | 1 |