Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-12-11 (Econometrics)
- NEP-ETS-2023-12-11 (Econometric Time Series)
- NEP-MST-2023-12-11 (Market Microstructure)
- NEP-RMG-2023-12-11 (Risk Management)
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