0368270 20240103195937.520121018235959.9 000309074600004 6 s. P cav_un_epca*0364870978-80-7431-058-429-34PragueProffesional publishing2011 multivariate realized volatility covariation jumps wavelets cav_un_auth*0242028 Baruník Jozef Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101217 Vácha Lukáš Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. GAP402/10/1610 GA ČR cav_un_auth*0263483 GA402/09/0965 GA ČR cav_un_auth*0253176 GD402/09/H045 GA ČR cav_un_auth*0253998 CEZ:AV0Z10750506 Abstract. Study of the covariation have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Our work brings complete theory for the realized covariation estimation generalizing current knowledge and bringing the estimation to the time-frequency domain for the first time. The results generalize the popular realized volatility framework by bringing the robustness to noise as well jumps and ability to measure the realized covariance not only in time but also in frequency domain. Noticeable contribution is brought also by the application of the presented theory. Our time-frequency estimators bring not only more efficient estimates, but decomposes the realized covariation into arbitrarily chosen investment horizons. Results thus bring better understanding of the dynamics of dependence between the stock markets. cav_un_auth*0274752 Mathematical Methods in Economics 2011 Janská Dolina 06.09.2011-09.09.2011 SK 2013 AH 2 http://hdl.handle.net/11104/0202661 2011 000309074600004 WOS cav_un_epca*0364870 Mathematical Methods in Economics 2011 978-80-7431-058-4 29 34 Prague Proffesional publishing 2011