@techreport{NBERw9664,
 title = "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations",
 author = "Michael W. Brandt and Francis X. Diebold",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "9664",
 year = "2003",
 month = "May",
 URL = "http://www.nber.org/papers/w9664",
 abstract = {We extend range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical considerations. We show that this estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading.},
}