On the use of high frequency measures of volatility in MIDAS regressions
Elena Andreou
| Year of publication: |
August 2016
|
|---|---|
| Authors: | Andreou, Elena |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 193.2016, 2, p. 367-389
|
| Subject: | MIDAS regression model | High-frequency volatility estimators | Bias | Efficiency | Volatilität | Volatility | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Systematischer Fehler |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.04.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704955