Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
Year of publication: |
2004-05-01
|
---|---|
Authors: | Ghysels, Eric ; Santa-Clara, Pedro ; Valkanov, Rossen |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | realized variance | power variation | MIDAS regression | variance réalisée | 'power variation' | régression MIDAS |
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