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Predicting the daily covariance matrix for S&P 100 stocks using intraday data : but which frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006

This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...

Persistent link: https://www.econbiz.de/10011346450

The benefits of improved covariance estimation

Turtle, Harry J.; Wang, Kainan - In: Journal of empirical finance 37 (2016), pp. 233-246

Persistent link: https://www.econbiz.de/10011663041

Co-Occurrence : A New Perspective on Portfolio Diversification

Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023

’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively … with the other asset returns over the investor’s prospective horizon. And because correlation is an average of sub …

Persistent link: https://www.econbiz.de/10014343662

Canonical portfolios : optimal asset and signal combination

Firoozye, Nikan B.; Tan, Vincent; Zohren, Stefan - In: Journal of banking & finance 154 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014491774

Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …

Persistent link: https://www.econbiz.de/10011874650