MIDAS regressions: Further results and new directions

Econometric Reviews

Volumn 26, Issue 1, 2007, Pages 53-90

  Ghysels, Eric ^a,b   Sinko, Arthur ^b   Valkanov, Rossen ^c  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Microstructure noise; Nonlinear MIDAS; Risk; Tick by tick applications; Volatility

Indexed keywords

EID: 33847296651     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930600972467     Document Type: Article

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