Estimation of the Conditional Variance-Covariance Matrix of Returns using the Intraday Range

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Estimation of the Conditional Variance-Covariance Matrix of Returns using the Intraday Range

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dc.contributor.author Harris, Richard D. F. en_GB
dc.contributor.author Yilmaz, Fatih en_GB
dc.contributor.department University of Exeter; Bank of America en_GB
dc.date.accessioned 2008-04-02T10:50:09Z en_GB
dc.date.accessioned 2011-01-25T10:28:11Z en_US
dc.date.accessioned 2013-03-20T11:08:32Z
dc.date.issued 2007-10 en_GB
dc.identifier.uri http://hdl.handle.net/10036/22116 en_GB
dc.language.iso en en_GB
dc.publisher University of Exeter, Xfi Centre for Finance and Investment en_GB
dc.relation.ispartofseries Working Paper en_GB
dc.relation.ispartofseries 07/11 en_GB
dc.relation.url http://www.xfi.ex.ac.uk/workingpapers/0711.pdf en_GB
dc.subject Estimation of the Conditional variance-covariance matrix of returns en_GB
dc.subject Intraday range en_GB
dc.subject Exponentially weighted moving average en_GB
dc.subject EWMA en_GB
dc.title Estimation of the Conditional Variance-Covariance Matrix of Returns using the Intraday Range en_GB
dc.type Working Paper en_GB
dc.date.available 2008-04-02T10:50:09Z en_GB
dc.date.available 2011-01-25T10:28:11Z en_US
dc.date.available 2013-03-20T11:08:32Z
dc.identifier.issn 1743-548X en_GB


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