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

DOI10.1016/J.JECONOM.2016.04.012zbMATH Open1431.62468OpenAlexW3122728420MaRDI QIDQ726593FDOQ726593

Authors: Elena Andreou 

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

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zbMATH Keywords

biasefficiencyhigh-frequency volatility estimatorsMIDAS regression model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Two singular diffusion problems
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• The Distribution of Realized Exchange Rate Volatility
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• Temporal Aggregation of Garch Processes
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• A Tale of Two Time Scales
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• Long-run risk-return trade-offs
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• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
• On stationarity and ergodicity of the bilinear model with applications to GARCH models
• Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
• The multivariate supOU stochastic volatility model
• Multivariate supOU processes
• Realized beta: persistence and predictability
• Regression models with mixed sampling frequencies
• The VIX, the variance premium and stock market volatility
• Stationarity and ergodicity for an affine two-factor model

Cited In (4)

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

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