Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
No. 2004/07
A No-Arbitrage Approach to Range-Based
Estimation of Return Covariances and …/07
A No-Arbitrage Approach to Range-Based Estimation of
Return Covariances and Correlations
♠
Michael W. Brandt
♦
and …-based estimates
in a multivariate GARCH framework.
Keywords: Range-based estimation, volatility, covariance, correlation …