Comment

Journal of Business and Economic Statistics

Volumn 24, Issue 2, 2006, Pages 192-194

  Ghysels, Eric ^a   Sinko, Arthur ^b  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33646516227     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000080     Document Type: Note

References (6)

1. Forsberg, L., and Ghysels, E. (2004). "Why Do Absolute Returns Predict Volatility so Well?" working paper, University of North Carolina, Dept. of Economics.
2. Ghysels, E. (1988), "A Study Towards a Dynamic Theory of Seasonality for Economic Time Series." Journal of the American Statistical Association, 85, 168-172.
3. _ (1996), "On the Economics and Econometrics of Seasonality," in Advances in Econometrics, Sixth World Congress, ed. C. A. Sims, Cambridge, U.K.: Cambridge University Press, pp. 257-316.
4. Ghysels, E., and Osborn, E. (2001), The Econometric Analysis of Seasonal Time Series, Cambridge, U.K.: Cambridge University Press.
5. Ghysels, E., and Sinko, A. (2005), "Volatility Prediction and Microstructure Noise," working paper. University of North Carolina. Dept. of Economics.
6. Ghysels, E., Sinko, A., and Valkanov, R. (2003), "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, forthcoming.