Bannouh, K.

covariance volatility range co-range return price variance estimator frequency forecast factor estimate result portfolio noise sampling 0.000 asset estimators trading model microstructure sampling frequency market stock table journal transaction market microstructure noise microstructure noise sampling frequencies bid-ask prof.dr decay matrix promoter regression parameter simulation performance tsrrh panel transaction costs minute factor covariance matrix bid –ask interval error covariance matrix weight covariance estimator correlation day t turnover christensen non-trading fficient decay parameter process covariance estimators presence forecasting estimation non-synchronous trading figure brownian motion sample probability factor model number strategy range estimator range-based ¨ ı t-sahalia volatility timing strategy value application level covariance estimates increase