Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in … estimator that is motivated by financial
economic considerations (the absence of arbitrage), in addition to statistical …, absence of arbitrage,
exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading
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The …