Why do absolute returns predict volatility so well?

Journal of Financial Econometrics

Volumn 5, Issue 1, 2007, Pages 31-67

  Forsberg, Lars ^a   Ghysels, Eric ^b  

^a UPPSALA UNIVERSITY   (Sweden)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

MIDAS regressions; Realized variance

Indexed keywords

EID: 33846814869     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbl010     Document Type: Article

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