no-arbitrage approach to range-based estimation of return covariances and correlations
By: Michael W. Brandt, Francis X. Diebold.
Contributors: Diebold, Francis X., 1959-; National Bureau of Economic Research.
Series: NBER working paper series -- no. 9664.; Working paper series (National Bureau of Economic Research) -- working paper no. 9664.
Publisher: National Bureau of Economic Research
Published: 2003
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 14
Subjects: Capital assets pricing model; Capital market -- Econometric markets; Pricing -- Mathematical models
Notes: "April 2003."

Includes bibliographical references.

Also available in PDF from the NBER world wide web site (www.nber.org).