Economic Value of Realized Covariance Forecasts: The European Case
Year of publication: |
2009
|
---|---|
Authors: | Vortelinos, Dimitrios ; Thomakos, Dimitrios |
Institutions: | Department of Economics, University of Peloponnese |
Subject: | CAC40 | DAX | ASE | portfolios | covariance | realized volatility | bias-correction | optimal sampling | microstructure noise | forecast | evaluation |
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