Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?
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- Michiel de Pooter & Martin Martens & Dick van Dijk, 2008. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 199-229.
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More about this item
Keywords
realized volatility; high-frequency data; volatility timing; mean-variance analysis; tracking error;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2005-11-19 (Econometric Time Series)
- NEP-FIN-2005-11-19 (Finance)
- NEP-FMK-2005-11-19 (Financial Markets)
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