TY  - UNPD
A1  - Brandt, Michael W.
A1  - Diebold, Francis X.
T1  - A no-arbitrage approach to range-based estimation of return covariances and correlations
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2004,07
N2  - We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading. Finally, we provide an empirical example illustrating the value of the high-frequency sample path information contained in the range-based estimates in a multivariate GARCH framework.
T3  - CFS working paper series - 2004, 07 
KW  - Range-based estimation
KW  - volatility
KW  - covariance
KW  - correlation
KW  - absence of arbitrage
KW  - exchange rates
KW  - Schätztheorie
KW  - Kapitalertrag
KW  - Theorie
Y1  - 2004
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4433
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10599
N1  - First Draft: September 2001. This Draft: March 2002.
IS  - This Draft: March 2002
ER  -