The authors are indebted for useful conversations or constructive comments to Torben Andersen, Federico Bandi, Luc Bauwens, Valentina Corradi, Frank Diebold, Robert Engle, Gabriele Fiorentini, Rene Garcia, John Geweke, Eric Ghysels, Xing Jin, Mico Loretan, John Maheu, Anna Pavlova, Tarun Ramadorai, Neil Shephard, Georgios Skoulakis, Jun Tu, Herman van Dijk, and Guofu Zhou as well as to participants at the 2008 Oxford-Man Conference in “Financial Econometrics and Vast Data” at Oxford, UK; the 2008 China International Conference in Finance at Dalian, China; the 2008 European Meeting of the Econometric Society at Milan, Italy; the 2008 Far Eastern and South Asian Meeting of the Econometric Society at Singapore; the 2008 Bayesian Workshop at the Rimini Center for Economic Analysis, Italy; the 2008 Small Open Economies in a Globalized World Conference at Waterloo, Canada; the 2007 Multivariate Volatility Models Conference at Faro, Portugal; and the CORE seminar at Universite Catholique de Louvain.
1See, for example, Ang and Bekaert (2002), Longin and Solnik (1995, 2001), and Goetzmann et al. (2005).
2For multivariate volatility models see, e.g., Bollerslev et al. (1988), Chib et al. (2006), Diebold and Nerlove (1989), Engle and Kroner (1995), Engle et al. (2008), Gourieroux et al. (2009), Harvey et al. (1994), Ledoit et al. (2003), Philipov and Glickman (2006), and Palandri (2009).
3Note that transaction costs for professional investors in the FX market are very ...