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

Ghysels, Eric, Santa-Clara , Pedro, Valkanov, Rossen . Journal of Econometrics 2006. 131 (1--2) :59-95

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Bibtex

@article{CIS-218022,
  Author = {Ghysels, Eric and Santa-Clara , Pedro and Valkanov, Rossen},
  Title = {Predicting volatility: Getting the most out of return data sampled at different frequencies},
  Journal = {Journal of Econometrics},
  Volume = {131},
  Number = {1--2},
  Year = {2006},
  Pages = {59--95},
  Keywords = {Model selection, high-frequency data, volatility forecasting, MIDAS}
}

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