A no-arbitrage approach to range-based estimation of return covariances and correlations

Published

Journal Article (Review)

We extend range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical considerations. We show that this estimator is highly efficient yet robust to the market microstructure noise arising from bidask bounce and asynchronous trading. © 2006 by The University of Chicago. All rights reserved.

Full Text

Duke Authors

Cited Authors

  • Brandt, MW; Diebold, FX

Published Date

  • January 1, 2006

Published In

Volume / Issue

  • 79 / 1

Start / End Page

  • 61 - 73

International Standard Serial Number (ISSN)

  • 0021-9398

Digital Object Identifier (DOI)

  • 10.1086/497405

Citation Source

  • Scopus