A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Year of publication: |
2001-09-01
|
---|---|
Authors: | Brandt, Michael W. ; Diebold, Francis X. |
Institutions: | Department of Economics, University of Pennsylvania |
Subject: | Range-based estimation | volatility | covariance | correlation | absence of arbitrage | exchange rates | stock returns | bond returns | bid-ask bounce | asynchronous trading |
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