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A MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334

Persistent link: https://www.econbiz.de/10011704952

Predicting volatility: getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of econometrics 131 (2006) 1/2, pp. 59-95

Persistent link: https://www.econbiz.de/10003298564

Midas regressions : further results and new directions

Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen I. - In: Econometric reviews 26 (2007) 1, pp. 53-90

Persistent link: https://www.econbiz.de/10003509012

Long-horizon regressions : theoretical results and applications

Valkanov, Rossen - In: Journal of financial economics 68 (2003) 2, pp. 201-232

Persistent link: https://www.econbiz.de/10001752238

Predicting volatility : getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004

"We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in...

Persistent link: https://www.econbiz.de/10002482290