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Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But Which Frequency to Use?
De Pooter, Michiel, Martens, Martin P.E., van Dijk, Dick J. C.Year:
2005
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.829545
File:
PDF, 277 KB
english, 2005