On the use of high frequency measures of volatility in MIDAS regressions (Q726593)
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scientific article; zbMATH DE number 6603056
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the use of high frequency measures of volatility in MIDAS regressions |
scientific article; zbMATH DE number 6603056 |
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On the use of high frequency measures of volatility in MIDAS regressions (English)
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12 July 2016
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MIDAS regression model
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high-frequency volatility estimators
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bias
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efficiency
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0.8649453
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0.86211497
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0.8607051
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0.85329926
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0.84968495
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0.84924245
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0.84857833
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0.8474759
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