Higher-Frequency Analysis of Low-Frequency Data

Mickaël Mallinger-Dogan; Mark C. Szigety

doi:10.3905/jpm.2014.41.1.121

Article

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.

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For correspondence: doganm@hmc.harvard.edu

Mark C. Szigety

is vice president and head of Quantitative Risk Analytics at Harvard Management Company in Boston, MA.

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For correspondence: szigetym@hmc.harvard.edu

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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

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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

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