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Forecasting the impact of information security breaches on stock market returns and VaR backtest

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Market risks that change domestic diversification benefits

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The securities-correlation risks and the volatility effects in the Japanese stock market

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Certainty of uncertainty for asset pricing

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Unrealistic expectations: the futility of precisely estimating a stock's expected return

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High Dimensional Covariance Forecasting for Short Intra-Day Horizons

Oomen, Roel C. A. - 2010

. Thus, traders who simply scale their daily covariance forecast to match their trading horizon, are likely to over … high dimensional covariance matrices for short intra-day horizons. Based on a novel evaluation methodology, and extensive …

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