Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?
Year of publication: |
2005
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Authors: | de Pooter, Michiel ; Martens, Martin ; van Dijk, Dick |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | realized volatility | high-frequency data | volatility timing | mean-variance analysis | tracking error |
Series: | Tinbergen Institute Discussion Paper ; 05-089/4 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 837181070 [GVK] hdl:10419/86328 [Handle] RePEc:dgr:uvatin:20050089 [RePEc] |
Classification: | G11 - Portfolio Choice |
Source: |
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Pooter, Michiel de, (2005)
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Pooter, Michiel de, (2005)
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Pooter, Michiel de, (2006)
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Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin, (2004)
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Pooter, Michiel de, (2005)
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Pooter, Michiel de, (2008)
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