Predicting the daily covariance matrix for s&p 100 stocks using intraday data - but which frequency in use?

MD de Pooter, MPE Martens, Dick van Dijk

Research output: Book/Report/Inaugural speech/Farewell speechReportAcademic

Original languageUndefined/Unknown
Place of Publication3000 DR Rotterdam
Number of pages31
EditionEI reprint reeks EI 1475
Publication statusPublished - 2008

Publication series

SeriesEI reprint reeks
VolumeEI 1475

Research programs

  • EUR ESE 31

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