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Factor models 1 Forecast evaluation 1 Market microstructure 1 Vast covariance matrices 1
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Oomen, Roel 1
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High-dimensional covariance forecasting for short intra-day horizons
Oomen, Roel - In: Quantitative Finance 10 (2010) 10, pp. 1173-1185
Asset return covariances at intra-day horizons are known to tend towards zero due to market microstructure effects. Thus, traders who simply scale their daily covariance forecast to match their trading horizon are likely to over-estimate the actual experienced asset dependence. In this paper,...
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