Comparison of Volatility Estimators
Comparing Garman-Klass estimator to 5-minute Realized Volatility estimator.
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A Most Diversified ETF Portfolio
Constructing a portfolio from a selection of ETFs to maximize the diversification ratio
Comparing Garman-Klass estimator to 5-minute Realized Volatility estimator.
Constructing a portfolio from a selection of ETFs to maximize the diversification ratio