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Which power variation predicts volatility well?

Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-700

We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in quadratic variation. Instead of pre-determining the (bi)power variation we parameterize it and estimate the intra-daily return power transformation that optimally predicts...

Persistent link: https://www.econbiz.de/10003900365

Which power variation predicts volatility well?

Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686

Persistent link: https://www.econbiz.de/10008277036

Which power variation predicts volatility well?

Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-701

Persistent link: https://www.econbiz.de/10008896110

Regime switches in the risk-return trade-off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - In: Journal of empirical finance 28 (2014), pp. 118-138

Persistent link: https://www.econbiz.de/10011285080

Emerging markets and trading costs : lessons from Casablanca

Ghysels, Eric; Cherkaoui, Mouna - In: Journal of empirical finance 10 (2003) 1/2, pp. 169-198

Persistent link: https://www.econbiz.de/10001752085

Liquidity and conditional portfolio choice : a nonparametric investigation

Ghysels, Eric; Pereira, João Pedro - In: Journal of empirical finance 15 (2008) 4, pp. 679-699

Persistent link: https://www.econbiz.de/10003759747

Liquidity and conditional portfolio choice: A nonparametric investigation

Ghysels, Eric; Pereira, João Pedro - In: Journal of empirical finance 15 (2008) 4, pp. 679-699

Persistent link: https://www.econbiz.de/10008075049

Emerging markets and trading costs: lessons from Casablanca

Ghysels, Eric; Cherkaoui, Mouna - In: Journal of empirical finance 10 (2003) 1, pp. 169-198

Persistent link: https://www.econbiz.de/10007233704

Let's get "real" about using economic data

Christoffersen, Peter; Ghysels, Eric; Swanson, Norman R. - In: Journal of empirical finance 9 (2002) 3, pp. 343

Persistent link: https://www.econbiz.de/10007235796

Liquidity and conditional portfolio choice: A nonparametric investigation

Ghysels, Eric; Pereira, João Pedro - In: Journal of empirical finance 15 (2008) 4, pp. 679-700

Persistent link: https://www.econbiz.de/10008880802