Kempf, Alexander; Korn, Olaf; Saßning, Sven - Centre for Financial Research <Köln> - 2011
In this paper we develop the rst estimator of the covariance matrix that relies solely onforward-looking information …. This estimator only uses price information from a cross-sectionof plain-vanilla options. In an out-of-sample study for US … according to the 1/N rule. The outperformance is strong in periodsof high information asymmetry, whereas in quiet periods all …