Using High-Frequency Data in Dynamic Portfolio Choice

DOI10.1080/07474930701870461zbMath1359.91030OpenAlexW2081074119MaRDI QIDQ3539871

Jeffrey R. Russell, Yinghua Zhu, Federico M. Bandi

Publication date: 19 November 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701870461

zbMATH Keywords

market microstructure noiserealized variancedynamic portfolio choicerealized covariance

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

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Cites Work

• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Realized Volatility: A Review
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
• Realized Beta: Persistence and Predictability
• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• A Tale of Two Time Scales

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