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- W3143233460 abstract "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 market microstructure noise arising from bid-ask bounce and asynchronous trading." @default.
- W3143233460 created "2021-04-13" @default.
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- W3143233460 date "2003-01-01" @default.
- W3143233460 modified "2023-09-26" @default.
- W3143233460 title "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations" @default.
- W3143233460 hasPublicationYear "2003" @default.
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