Portfolio management using realized covariances: Evidence from Brazil
It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is still unclear whether high frequency data provide more precise covariance estimates in markets more contaminated from microstructure noise s...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2017-09-01
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| Series: | EconomiA |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1517758017300395 |