On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-78965-7_2
Reference16 articles.
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4. Ghysels, E., Sinko, A., Valkanov, R.: MIDAS regressions: further results and new directions. Econ. Rev. 26(1), 53–90 (2007)
5. Engle, R.F., Ghysels, E., Sohn, B.: Stock market volatility and macroeconomic fundamentals. Rev. Econ. Stat. 95(3), 776–797 (2013)
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