On the use of high frequency measures of volatility in MIDAS regressions
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Publication:726593
DOI10.1016/j.jeconom.2016.04.012zbMath1431.62468OpenAlexW3122728420MaRDI QIDQ726593
Publication date: 12 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://papers.econ.ucy.ac.cy/RePEc/papers/03-16.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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