Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? (Q3539873)
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scientific article; zbMATH DE number 5368902
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| English | Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? |
scientific article; zbMATH DE number 5368902 |
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Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? (English)
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19 November 2008
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bias-correction
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high-frequency data
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mean-variance analysis
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realized volatility
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tracking error
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volatility timing
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0.8344406485557556
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0.7479029297828674
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0.7357826828956604
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0.7240049839019775
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0.7188056707382202
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