A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

We extend range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical considerations. We show that this estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading

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Year of publication:	[2003]
Authors:	Diebold, Francis X.
Other Persons:	Brandt, Michael W. (contributor)
Publisher:	[2003]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Korrelation \| Correlation \| Kapitaleinkommen \| Capital income

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Extent:	1 Online-Ressource (16 p)
Series:	NBER Working Paper ; No. w9664
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2003 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012786604