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05-089/4 - Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?


  • Authors
    Michiel de Pooter, Faculty of Economics, Erasmus Universiteit Rotterdam; Martin Martens, Faculty of Economics, Erasmus Universiteit Rotterdam; Dick van Dijk, Faculty of Economics, Erasmus Universiteit Rotterdam
  • Publication date
    October 12, 2005
  • Keywords
    realized volatility; high-frequency data; volatility timing; mean-variance analysis; tracking error
  • JEL
    G11