On the use of high frequency measures of volatility in MIDAS regressions

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Cites work

A Tale of Two Time Scales
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Long-run risk-return trade-offs
Multivariate supOU processes
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
On stationarity and ergodicity of the bilinear model with applications to GARCH models
On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
Power Variation and Time Change
Predicting volatility: getting the most out of return data sampled at different frequencies
Realized beta: persistence and predictability
Realized volatility forecasting and market microstructure noise
Regression models with mixed sampling frequencies
Stationarity and ergodicity for an affine two-factor model
Subsampling realised kernels
Temporal Aggregation of Garch Processes
Temporal aggregation of volatility models
The Distribution of Realized Exchange Rate Volatility
The VIX, the variance premium and stock market volatility
The multivariate supOU stochastic volatility model
Two singular diffusion problems
Volatility puzzles: a simple framework for gauging return-volatility regressions

Cited in

(4)

Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
MIDAS Regressions: Further Results and New Directions
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Predicting volatility: getting the most out of return data sampled at different frequencies

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