MIDAS Regressions: Further Results and New Directions

DOI10.1080/07474930600972467zbMath1108.62092OpenAlexW2053752134MaRDI QIDQ130725

Arthur Sinko, Eric Ghysels, Rossen Valkanov, Eric Ghysels, Rossen Valkanov, Arthur Sinko

Publication date: 5 February 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://cdr.lib.unc.edu/downloads/7s75dn35b

zbMATH Keywords

riskvolatilityautoregressionmicrostructure noisenonlinear MIDASpolynomial specificatoinstick-by-tick applications

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) General nonlinear regression (62J02)

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