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- W4382892782 abstract "Recent work suggests that intradaily returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. We measure the economic value of this “realized” volatility approach in the context of investment decisions. Our results indicate that the value of switching from daily to intradaily returns to estimate the conditional covariance matrix can be substantial. We estimate that a risk-averse investor would be willing to pay 50 to 200 basis points per year to capture the observed gains in portfolio performance. Moreover, these gains are robust to transaction costs, estimation risk regarding expected returns, and the performance measurement horizon." @default.
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- W4382892782 date "2003-03-01" @default.
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- W4382892782 title "The economic value of volatility timing using “realized” volatility" @default.
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- W4382892782 doi "https://doi.org/10.1016/s0304-405x(02)00259-3" @default.
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