Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology
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Publisher
Palgrave Macmillan UK
Link
http://link.springer.com/content/pdf/10.1057/9780230298101_1
Reference31 articles.
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3. Andersen, T. and Bollerslev, T. (1998) “Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts”, International Economic Review, 39 (4): 885–905.
4. Bandi, F.M. and Russell, J.R. (2006) “Separating Market Microstructure Noise from Volatility”, Journal of Financial Economics, 79 (3): 655–692.
5. Bandi, F.M. and Russell, J.R. (2008) “Microstructure Noise, Realized Variance and Optimal Sampling”, Review of Economic Studies, 75 (2): 339–369.
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1. On Asset-Allocation and High-Frequency Data: Are There Financial Gains From Using Different Covariance Estimators?;SSRN Electronic Journal;2018
2. Estimation of Integrated Volatility;SpringerBriefs in Quantitative Finance;2017
3. Econometric Analysis of Multivariate Realised QML: Efficient Positive Semi-Definite Estimators of the Covariation of Equity Prices;SSRN Electronic Journal;2012
4. Multivariate Volatility Estimation with High Frequency Data Using Fourier Method;Handbook of Modeling High-Frequency Data in Finance;2011-11-07
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