Using high-frequency data in dynamic portfolio choice

Econometric Reviews

Volumn 27, Issue 1-3, 2008, Pages 163-198

  Bandi, Federico M ^a   Russell, Jeffrey R ^a   Zhu, Yinghua ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Dynamic portfolio choice; Market microstructure noise; Realized covariance; Realized variance

Indexed keywords

EID: 40549128356     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930701870461     Document Type: Article

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