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How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets

Maggie Chen, Mike Buckle, Julian Williams, Mike Buckle Orcid Logo

Journal of Forecasting, Volume: 33, Issue: 7, Pages: 542 - 557

Swansea University Authors: Maggie Chen, Mike Buckle Orcid Logo

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DOI (Published version): 10.1002/for.2310

Published in: Journal of Forecasting
Published: 2014
URI: https://cronfa.swan.ac.uk/Record/cronfa18085
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first_indexed 2014-07-04T01:30:02Z
last_indexed 2020-12-09T03:28:05Z
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spelling 2020-12-08T15:56:03.5480743 v2 18085 2014-07-03 How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets 84886845de6e6c3a4d460fc5e68ac18e Maggie Chen Maggie Chen true false 756422b319676d1b53856d85363a4ae3 0000-0002-5767-2217 Mike Buckle Mike Buckle true false 2014-07-03 BAF Journal Article Journal of Forecasting 33 7 542 557 8 9 2014 2014-09-08 10.1002/for.2310 Forthcoming COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2020-12-08T15:56:03.5480743 2014-07-03T11:51:04.8482454 School of Management Accounting and Finance Maggie Chen 1 Mike Buckle 2 Julian Williams 3 Mike Buckle 0000-0002-5767-2217 4
title How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets
spellingShingle How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets
Maggie Chen
Mike Buckle
title_short How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets
title_full How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets
title_fullStr How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets
title_full_unstemmed How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets
title_sort How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets
author_id_str_mv 84886845de6e6c3a4d460fc5e68ac18e
756422b319676d1b53856d85363a4ae3
author_id_fullname_str_mv 84886845de6e6c3a4d460fc5e68ac18e_***_Maggie Chen
756422b319676d1b53856d85363a4ae3_***_Mike Buckle
author Maggie Chen
Mike Buckle
author2 Maggie Chen
Mike Buckle
Julian Williams
Mike Buckle
format Journal article
container_title Journal of Forecasting
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container_start_page 542
publishDate 2014
institution Swansea University
doi_str_mv 10.1002/for.2310
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hierarchy_top_title School of Management
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published_date 2014-09-08T03:28:05Z
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