Economic benefits of using realized covariance forecasts in risk-based portfolios
Year of publication: |
2016
|
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Authors: | Sharma, Prateek ; Vipul |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 4/6, p. 502-516
|
Subject: | Realized covariance | bipower variation | risk-based portfolios | microstructure noise | risk parity | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance |
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