Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - Centre Interuniversitaire de Recherche en Analyse des … - 2004
This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns - the Mixed Data Sampling (or MIDAS) approach. Using...