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Forecasting stock market returns : the sum of the parts is more than the whole

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

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Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns

Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - 2004

Persistent link: https://www.econbiz.de/10002499370

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