MIDAS Regressions: Further Results and New Directions (Q130725): Difference between revisions

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+The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
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+Out of sample forecasts of quadratic variation
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+Realized volatility forecasting and market microstructure noise
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Power variation and stochastic volatility: a review and some new results
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+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+Temporal aggregation and spurious instantaneous causality in multiple time series models
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+Spectral GMM estimation of continuous-time processes
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+Alternative models for stock price dynamics.
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+Variance Function Estimation
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+Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
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+Q5663203
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+Modeling volatility persistence of speculative returns: a new approach
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+Temporal Aggregation of Garch Processes
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+Closing the GARCH gap: Continuous time GARCH modeling
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+Augmented GARCH\((p,q)\) process and its diffusion limit
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+Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
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+The Econometrics of Ultra-high-frequency Data
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+GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
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+Predicting volatility: getting the most out of return data sampled at different frequencies
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+Volatility forecasting and microstructure noise
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+Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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+A Class of Nonlinear Arch Models
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+Rational Distributed Lag Functions
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+An Intertemporal Capital Asset Pricing Model
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Q126268172
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+Publication:130725