On the use of high frequency measures of volatility in MIDAS regressions

Author:

Andreou Elena

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference49 articles.

1. Estimating volatility in the presence of market microstructure noise: A review of the theory and practical considerations;Ait-Sahalia,2009

2. Comments on “Realized variance and market microstructure noise”;Ait-Sahalia;J. Bus. Econom. Statist.,2006

3. Does realized skewness predict the cross-section of equity returns?;Amaya;J. Financ. Econ.,2015

4. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;Internat. Econom. Rev.,1998

5. The distribution of realized exchange rate volatility;Andersen;J. Amer. Statist. Assoc.,2001

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