Predicting the Daily Covariance Matrix for S&P 100...

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?

Pooter, Michiel de, Martens, Martin, Dijk, Dick van
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Volume:
27
Language:
english
Journal:
Econometric Reviews
DOI:
10.1080/07474930701873333
Date:
February, 2008
File:
PDF, 213 KB
english, 2008
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