Predicting volatility: getting the most out of return data sampled at different frequencies

Eric Ghysels, Pedro Santa-Clara and Rossen Valkanov

Journal of Econometrics, 2006, vol. 131, issue 1-2, 59-95

Date: 2006
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Related works:
Working Paper: Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies (2004)
Working Paper: Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:131:y:2006:i:1-2:p:59-95

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