Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
DOI10.1080/07474930701873333zbMATH Open1359.62522OpenAlexW2158977591MaRDI QIDQ3539873FDOQ3539873
Authors: Michiel de Pooter, Martin Martens, Dick van Dijk 
Publication date: 19 November 2008
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930701873333
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Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- The Distribution of Realized Exchange Rate Volatility
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- On covariance estimation of non-synchronously observed diffusion processes
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- An econometric analysis of nonsynchronous trading
- Using High-Frequency Data in Dynamic Portfolio Choice
- Semi-parametric modelling of correlation dynamics
Cited In (17)
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- The influence of intraday seasonality on volatility transmission pattern
- Realized Volatility: A Review
- Using High-Frequency Data in Dynamic Portfolio Choice
- Optimal sampling frequency for high frequency data using a finite mixture model
- Equity portfolio diversification with high frequency data
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Disentangling the role of variance and covariance information in portfolio selection problems
- Realized Volatility and Long Memory: An Overview
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Realized volatility forecasting and option pricing
- Assessing the quality of volatility estimators via option pricing
- Dynamic modeling of high-dimensional correlation matrices in finance
- How often to sample a continuous-time process in the presence of market microstructure noise
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Jump robust two time scale covariance estimation and realized volatility budgets
- Comparing unconstrained parametrization methods for return covariance matrix prediction
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