Open AccessA No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Author(s) -
Michael W. Brandt,
Francis X. Diebold
Publication year - 2003
Language(s) - English
Resource type - Reports
DOI - 10.3386/w9664
Subject(s) - econometrics , arbitrage , range (aeronautics) , economics , mathematics , estimation , financial economics , statistics , engineering , management , aerospace engineering