MIDAS Regressions: Further Results and New Directions (Q130725)

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scientific article
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English
MIDAS Regressions: Further Results and New Directions
scientific article

    Statements

    volume
    26
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    issue
    1
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    page(s)
    53-90
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    publication date
    5 February 2007
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    18 April 2007
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    author
    Eric Ghysels
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    Arthur Sinko
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    Rossen Valkanov
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    Eric Ghysels
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    Arthur Sinko
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    Rossen Valkanov
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    title
    MIDAS Regressions: Further Results and New Directions (English)
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    zbMATH Keywords
    microstructure noise
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    nonlinear MIDAS
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    risk
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    tick-by-tick applications
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    volatility
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    polynomial specificatoins
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    autoregression
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    cites work
    Q5663203
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62P05
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    62J02
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    zbMATH DE Number
    5144208
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    OpenAlex ID
    W2053752134
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    Wikidata QID
    Q126268172
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