How predictable are equity covariance matrices? : evidence from high-frequency data for four markets
Year of publication: |
2014
|
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Authors: | Buckle, Michael J. ; Chen, Jing ; Williams, Julian |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 33.2014, 7, p. 542-557
|
Subject: | realized covariance | microstructure | Wishart distribution | Korrelation | Correlation | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Börsenkurs | Share price | Varianzanalyse | Analysis of variance |
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