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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.
;
Diebold, Francis X.
-
Department of Economics, University of Pennsylvania
-
2001
-based covariance estimator motivated by a key financial economic consideration, the
absence
of
arbitrage
, in addition to statistical …
Persistent link: https://www.econbiz.de/10005109594
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