Beta-adjusted covariance estimation
Kris Boudt, Kirill Dragun, Orimar Sauri, Steven Vanduffel
| Year of publication: |
[2021]
|
|---|---|
| Authors: | Boudt, Kris ; Dragun, Kirill ; Sauri, Orimar ; Vanduffel, Steven |
| Publisher: |
Ghent : Ghent University, Faculty of Economics and Business Administration |
| Subject: | High-frequency data | realized covariances | ETF | asynchronicity | stock-ETF beta | Localized Hayashi-Yoshida | Index tracking | Korrelation | Correlation | Aktienindex | Stock index | Indexderivat | Index derivative | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Betafaktor | Beta risk | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Marktmikrostruktur | Market microstructure | Schätzung | Estimation | CAPM | Volatilität | Volatility |
freely available
| Extent: | 1 Online-Ressource (circa 51 Seiten) Illustrationen |
|---|---|
| Series: | Working paper series / Universiteit Gent, Faculteit Economie en Bedrijfskunde. - Gent : [Verlag nicht ermittelbar], ZDB-ID 2623489-0. - Vol. 1010 (2021) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012432948