{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,27]],"date-time":"2026-09-27T03:10:39Z","timestamp":1790478639335,"version":"4.1.0"},"reference-count":74,"publisher":"The Econometric Society","issue":"4","funder":[{"DOI":"10.13039\/501100000923","name":"Australian Research Council","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100000923","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100003246","name":"Nederlandse Organisatie voor Wetenschappelijk Onderzoek","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100003246","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["ECTA"],"abstract":"<jats:p>\n                    We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high\u2010frequency returns, and we derive the asymptotic properties of the resulting\n                    <jats:italic>realized semicovariance<\/jats:italic>\n                    measures as the sampling interval goes to zero. The first\u2010order asymptotic results highlight how the same\u2010sign and mixed\u2010sign components load differently on economic information related to stochastic correlation and jumps. The second\u2010order asymptotic results reveal the structure underlying the same\u2010sign semicovariances, as manifested in the form of co\u2010drifting and dynamic \u201cleverage\u201d effects. In line with this anatomy, we use data on a large cross\u2010section 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.\n                  <\/jats:p>","DOI":"10.3982\/ecta17056","type":"journal-article","created":{"date-parts":[[2020,7,21]],"date-time":"2020-07-21T08:43:25Z","timestamp":1595321005000},"page":"1515-1551","source":"Crossref","is-referenced-by-count":70,"title":["Realized Semicovariances"],"prefix":"10.3982","volume":"88","author":[{"given":"Tim","family":"Bollerslev","sequence":"first","affiliation":[{"name":"Department of Economics, Duke University"},{"name":"NBER"},{"name":"CREATES"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jia","family":"Li","sequence":"additional","affiliation":[{"name":"Department of Economics, Duke University"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Andrew J.","family":"Patton","sequence":"additional","affiliation":[{"name":"Department of Economics, Duke University"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Rogier","family":"Quaedvlieg","sequence":"additional","affiliation":[{"name":"Department of Business Economics, Erasmus University Rotterdam"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2020]]},"reference":[{"key":"ecta200168-bib-0001","doi-asserted-by":"crossref","first-page":"184","DOI":"10.1214\/07-AOS568","volume":"37","author":"A\u00eft-Sahalia","year":"2009","journal-title":"The Annals of Statistics"},{"key":"ecta200168-bib-0002","volume-title":"High-Frequency Financial Econometrics","author":"A\u00eft-Sahalia","year":"2014"},{"issue":"2","key":"ecta200168-bib-0003","doi-asserted-by":"crossref","first-page":"205","DOI":"10.1016\/j.jeconom.2016.05.002","volume":"194","author":"A\u00eft-Sahalia","year":"2016","journal-title":"Journal of Econometrics"},{"issue":"1","key":"ecta200168-bib-0004","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1016\/j.jfineco.2015.02.009","volume":"118","author":"Amaya","year":"2015","journal-title":"Journal of Financial Economics"},{"key":"ecta200168-bib-0005","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/S0927-5398(97)00004-2","volume":"4","author":"Andersen","year":"1997","journal-title":"Journal of Empirical Finance"},{"issue":"2","key":"ecta200168-bib-0006","doi-asserted-by":"crossref","first-page":"579","DOI":"10.1111\/1468-0262.00418","volume":"71","author":"Andersen","year":"2003","journal-title":"Econometrica"},{"issue":"4","key":"ecta200168-bib-0007","doi-asserted-by":"crossref","first-page":"701","DOI":"10.1162\/rest.89.4.701","volume":"89","author":"Andersen","year":"2007","journal-title":"Review of Economics and Statistics"},{"issue":"3","key":"ecta200168-bib-0008","doi-asserted-by":"crossref","first-page":"443","DOI":"10.1016\/S0304-405X(02)00068-5","volume":"63","author":"Ang","year":"2002","journal-title":"Journal of Financial Economics"},{"issue":"3","key":"ecta200168-bib-0009","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1093\/rfs\/5.3.387","volume":"5","author":"Back","year":"1992","journal-title":"Review of Financial Studies"},{"issue":"1","key":"ecta200168-bib-0010","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1093\/jjfinec\/nbh001","volume":"2","author":"Barndorff-Nielsen","year":"2004","journal-title":"Journal of Financial Econometrics"},{"issue":"3","key":"ecta200168-bib-0011","doi-asserted-by":"crossref","first-page":"885","DOI":"10.1111\/j.1468-0262.2004.00515.x","volume":"72","author":"Barndorff-Nielsen","year":"2004","journal-title":"Econometrica"},{"issue":"1","key":"ecta200168-bib-0012","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1093\/jjfinec\/nbi022","volume":"4","author":"Barndorff-Nielsen","year":"2006","journal-title":"Journal of Financial Econometrics"},{"key":"ecta200168-bib-0013","doi-asserted-by":"crossref","first-page":"1481","DOI":"10.3982\/ECTA6495","volume":"76","author":"Barndorff-Nielsen","year":"2008","journal-title":"Econometrica"},{"issue":"2","key":"ecta200168-bib-0014","doi-asserted-by":"crossref","first-page":"149","DOI":"10.1016\/j.jeconom.2010.07.009","volume":"162","author":"Barndorff-Nielsen","year":"2011","journal-title":"Journal of Econometrics"},{"key":"ecta200168-bib-0015","doi-asserted-by":"crossref","first-page":"117","DOI":"10.1093\/acprof:oso\/9780199549498.003.0007","volume-title":"Volatility and Time Series Econometrics: Essays in Honor of Robert F. 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