A no-arbitrage approach to range-based estimation of return covariances and correlations
Publication
, Journal Article
Brandt, MW; Diebold, FX
Published in: Journal of Business
January 1, 2006
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.
Duke Scholars
Published In
Journal of Business
DOI
ISSN
0021-9398
Publication Date
January 1, 2006
Volume
79
Issue
1
Start / End Page
61 / 73
Related Subject Headings
- Finance
Citation
APA
Chicago
ICMJE
MLA
NLM
Brandt, M. W., & Diebold, F. X. (2006). A no-arbitrage approach to range-based estimation of return covariances and correlations. Journal of Business, 79(1), 61–73. https://doi.org/10.1086/497405
Brandt, M. W., and F. X. Diebold. “A no-arbitrage approach to range-based estimation of return covariances and correlations.” Journal of Business 79, no. 1 (January 1, 2006): 61–73. https://doi.org/10.1086/497405.
Brandt MW, Diebold FX. A no-arbitrage approach to range-based estimation of return covariances and correlations. Journal of Business. 2006 Jan 1;79(1):61–73.
Brandt, M. W., and F. X. Diebold. “A no-arbitrage approach to range-based estimation of return covariances and correlations.” Journal of Business, vol. 79, no. 1, Jan. 2006, pp. 61–73. Scopus, doi:10.1086/497405.
Brandt MW, Diebold FX. A no-arbitrage approach to range-based estimation of return covariances and correlations. Journal of Business. 2006 Jan 1;79(1):61–73.
Published In
Journal of Business
DOI
ISSN
0021-9398
Publication Date
January 1, 2006
Volume
79
Issue
1
Start / End Page
61 / 73
Related Subject Headings
- Finance