Concepedia

Realized Correlation

Realized Correlation is a non-parametric measure of the ex post covariance structure between two high-frequency financial time series, computed as the sum of pairwise intraday return products standardized by their respective realized volatilities over a fixed time interval.

39

Publications

2.3K

Citations

75

Authors

58

Institutions

Publications per year

2017–2026

10

Parents

Publications

39

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Econometrica · 2004 · 948 citations

, , +17

Implied correlation index: A new measure of diversification

Vasiliki D. Skintzi, A.N. Refenes · Journal of Futures Markets · 2004 · 106 citations

, , +17

Correlations, trades and stock returns of the Pacific-Basin markets

Nai‐Fu Chen, Feng Zhang · Pacific-Basin Finance Journal · 1997 · 100 citations

, , +14

The Index cohesive effect on stock market correlations

Yoash Shapira, Dror Y. Kenett, Eshel Ben‐Jacob · The European Physical Journal B · 2009 · 97 citations

, , +14

Realized bond-stock correlation: Macroeconomic announcement effects

Angelo Ranaldo, Charlotte Christiansen · Zurich Open Repository and Archive (University of Zurich) · 2007 · 84 citations

, , +13

1–5 of 39

Authors

75

  1. CC
    Charlotte Christiansen

    Aarhus University, Denmark

    6 publications · 219 citations

    6

    h-index

  2. AL
    Asger Lunde

    Aarhus University, Denmark

    3 publications · 100 citations

    3

    h-index

  3. AR
    Angelo Ranaldo

    University of St.Gallen, Switzerland

    3 publications · 131 citations

    3

    h-index

  4. PJ
    Pascal J. Maenhout

    INSEAD, France

    3 publications · 147 citations

    3

    h-index

  5. JD
    Joost Driessen

    Tilburg University, Netherlands

    3 publications · 147 citations

    3

    h-index

1–5 of 75

Institutions

58

  1. Aarhus University

    Aarhus, Denmark

    9 h-index

    10 publications

    1.3K citations

  2. University of St.Gallen

    Saint Gallen, Switzerland

    3 h-index

    3 publications

    81 citations

  3. INSEAD

    Fontainebleau, France

    3 h-index

    4 publications

    210 citations

  4. Universitat Rovira i Virgili

    Tarragona, Spain

    2 h-index

    2 publications

    76 citations

  5. Hong Kong University of Science and Technology

    Hong Kong, Hong Kong

    2 h-index

    2 publications

    117 citations

  6. Swiss National Bank

    Bern, Switzerland

    2 h-index

    3 publications

    190 citations

  7. Frankfurt School of Finance & Management

    Frankfurt am Main, Germany

    2 h-index

    2 publications

    84 citations

  8. Swiss Finance Institute

    Zurich, Switzerland

    2 h-index

    2 publications

    68 citations

1–8 of 58

Venues

  1. 4

    h-index

  2. SSRN Electronic Journal

    Repository · 4 publications · 120 citations

    4

    h-index

  3. Journal of Empirical Finance

    3 publications · 97 citations

    3

    h-index

  4. The European Physical Journal B

    2 publications · 109 citations

    2

    h-index

  5. Journal of Futures Markets

    2 publications · 128 citations

    2

    h-index

1–5