Realized Semicovariances: Looking for Signs of Direction Inside the Covariance Matrix

Bollerslev, TLi, JPatton, AJQuaedvlieg, R2018-04-012018-04-012017-09-05https://hdl.handle.net/10161/16447High-Frequency Data; Realized Variances; Semicovariances; Symmetric Correlations; Cojumps; Volatility ForecastingRealized Semicovariances: Looking for Signs of Direction Inside the Covariance MatrixJournal article2018-04-01