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~accessRights:"restricted"
~isPartOf:"Economic Modelling"
~isPartOf:"Journal of Econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Working Paper"
~person:"Haugom, Erik"
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Covariance estimation using
high-frequency
data
: Sensitivities of estimation methods
Haugom, Erik
;
Lien, Gudbrand
;
Veka, Steinar
;
Westgaard, Sjur
- In:
Economic Modelling
43
(
2014
)
C
,
pp. 416-425
. These findings suggest that great care must be taken when using
high-frequency
data
in portfolio risk applications. …
Persistent link: https://www.econbiz.de/10010939705
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