Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-
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- Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
- Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015.
"Precious metals under the microscope: a high-frequency analysis,"
Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
- Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
- Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2012. "Jump robust daily covariance estimation by disentangling variance and correlation components," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 2993-3005.
- Vortelinos, Dimitrios I., 2010. "The properties of realized correlation: Evidence from the French, German and Greek equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 273-290, August.
- repec:sbe:breart:v:35:y:2015:i:1:a:21453 is not listed on IDEAS
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