We study regression models that involve data sampled at different frequencies. We derive the asymptotic properties of the NLS estimators of such regression models and compare them with the LS estimators of a traditional model that involves aggregating or equally weighting data to estimate a...

The purpose of this paper is to bridge two strands of the literature, one pertaining to the objective or physical measure used to model an underlying asset and the other pertaining to the risk-neutral measure used to price derivatives. We propose a generic procedure using simultaneously the...

We rely on recently developed general equilibrium asset pricing models, from which we derive some predictions about how heterogeneity of beliefs affects return and volatility dynamics. The first contribution of our paper is the derivation of a simple decomposition of the conditional stock...

Multi-period forecasts of stock market return volatilities are often used in many applied areas of finance where long horizon measures of risk are necessary. Yet, very little is known about how to forecast variances several periods ahead, as most of the focus has been placed on one-period ahead...

Our objective is volatility forecasting, which is core to many risk management problems. We provide theoretical explanations for (i) the empirical stylized fact recognized at least since Taylor () and Ding, Granger, and Engle () that absolute returns show more persistence than squared returns...

We examine whether the sign and magnitude of discretely sampled high frequency returns have impact on future volatility predictions. We first let the 'data speak', namely with minimal interference we capture the mapping between returns over short horizons and future volatility over longer...

It is difficult to define news, and many definitions are model-based since part of what is announced is anticipated. Therefore, news is typically defined as a residual within the context of some type of prediction model, and the prediction model locks in the sampling frequency that is the...