Using High-Frequency Data to Model Volatility Dynamics
نویسنده
چکیده
he covariance matrix of asset returns is important for a wide range of individuals.1 Academics use estimates of the covariance matrix to test asset-pricing theories. Portfolio managers use the covariance matrix in designing tracking strategies where the return on their portfolio is designed to closely follow the return on a benchmark portfolio. Risk managers use the matrix to construct measures such as “value at risk.” Corporate managers require accurate measures of covariances for hedging strategies.
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