Higher-Frequency Analysis of Low-Frequency Data
Mickaël Mallinger-Dogan and Mark C. Szigety
The Journal of Portfolio Management Fall 2014, 41 (1) 121-138; DOI: https://doi.org/10.3905/jpm.2014.41.1.121
Mickaël Mallinger-Dogan
is an assistant vice president, Illiquid Assets Analytics, at Harvard Management Company in Boston, MA.
Mark C. Szigety
is vice president and head of Quantitative Risk Analytics at Harvard Management Company in Boston, MA.
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Higher-Frequency Analysis of Low-Frequency Data
Mickaël Mallinger-Dogan, Mark C. Szigety
The Journal of Portfolio Management Oct 2014, 41 (1) 121-138; DOI: 10.3905/jpm.2014.41.1.121