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