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Brandt, Michael W.
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.
;
Diebold, Francis X.
;
April
-
Financial Institutions Center, Wharton School of Business
-based covariance estimator motivated by a key financial economic consideration, the
absence
of
arbitrage
, in addition to statistical …
Persistent link: https://www.econbiz.de/10005794415
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