How predictable are equity covariance matrices? : evidence from high-frequency data for four markets
Mike Buckle Jing Chen and Julian Williams
| Year of publication: |
2014
|
|---|---|
| Authors: | Buckle, Michael J. ; Chen, Jing ; Williams, Julian |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 33.2014, 7, p. 542-557
|
| Subject: | realized covariance | microstructure | Wishart distribution | Korrelation | Correlation | Marktmikrostruktur | Market microstructure | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Varianzanalyse | Analysis of variance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011282861