Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?
| Year of publication: |
2008
|
|---|---|
| Authors: | de Pooter, Michiel ; Martens, Martin ; van Dijk, Dick |
| Published in: |
Econometric reviews. - Philadelphia, Pa : Taylor & Francis, ISSN 0731-1761, ZDB-ID 7974632. - Vol. 27.2008, 1-3, p. 199-229
|