Equity portfolio diversification with high frequency data

DOI10.1080/14697688.2014.973898zbMath1398.91498OpenAlexW2034839621MaRDI QIDQ4683074

Vitali Alexeev, Mardi Dungey

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://eprints.utas.edu.au/17316/1/2013-19_Alexeev_and_Dungey_-_Equity_portfolio_diversification_with_high_frequency_data.pdf

zbMATH Keywords

realized varianceportfolio diversificationhigh frequencyrealized correlation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Jumps and betas: a new framework for disentangling and estimating systematic risks
• Equity Portfolio Diversification*
• Realized Volatility: A Review
• Note—Naive Diversification and Portfolio Risk—A Note
• Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns

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