A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
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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
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美国国家经济研究局创建时间：
2003-05-01
