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

Econometrics

Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic

Original language	Undefined/Unknown
Place of Publication	3000 DR Rotterdam
Number of pages	31
Edition	EI reprint reeks EI 1475
Publication status	Published - 2008

Publication series

Series	EI reprint reeks
Volume	EI 1475

Cite this

TY - BOOK

T1 - Predicting the daily covariance matrix for s&p 100 stocks using intraday data - but which frequency in use?

AU - de Pooter, MD

AU - Martens, MPE

AU - van Dijk, Dick

PY - 2008

Y1 - 2008

M3 - Report

T3 - EI reprint reeks

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

CY - 3000 DR Rotterdam

ER -