A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (2003)

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by Michael W. Brandt , Francis X. Diebold

Citations:

44 - 4 self

BibTeX

@MISC{Brandt03ano-arbitrage,
    author = {Michael W. Brandt and Francis X. Diebold},
    title = {A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations},
    year = {2003}
}

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Abstract

Keyphrases

range-based estimation no-arbitrage approach return covariance