• Graduate program
  • Research
  • Summer School
  • Events
    • Summer School
      • Applied Public Policy Evaluation
      • Economics of Blockchain and Digital Currencies
      • Economics of Climate Change
      • Foundations of Machine Learning with Applications in Python
      • From preference to choice: The Economic Theory of Decision-Making
      • Gender in Society
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • 16th Tinbergen Institute Annual Conference
    • Annual Tinbergen Institute Conference
  • News
  • Alumni
  • Magazine

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
Download here