| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11307
|
| DP11307 On the use of high frequency measures of volatility in MIDAS regressions |
| Elena Andreou
|
| 发表日期 | 2016-06-01
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | Many empirical studies link mixed data frequency variables such as low frequency macroeconomic or
nancial variables with high frequency
financial indicators volatilities, especially within a predictive regression model context. The objective of this paper is threefold: First, we relate the standard Least Squares (LS) regression model with high frequency volatility predictors, with the corresponding Mixed Data Sampling Nonlinear LS (MIDAS-NLS) regression model (Ghysels et al., 2005, 2006), and evaluate the properties of the regression estimators of these models. We also consider alternative high frequency volatility measures as well as various continuous time models using their corresponding relevant higher-order moments to further analyze the properties of these estimators. Second, we derive the relative MSE efficiency of the slope
estimator in the standard LS and MIDAS regressions, we provide conditions for relative efficiency and present the numerical results for different continuous time models. Third, we extend the analysis of the bias of the slope estimator in standard LS regressions with alternative realized measures of risk such as the Realized Covariance, Realized Beta and the Realized Skewness when the true DGP is a MIDAS model. |
| 主题 | Financial Economics
|
| 关键词 | Midas regression model
High-frequency volatility estimators
Bias
Efficiency
|
| URL | https://cepr.org/publications/dp11307
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540123
|
推荐引用方式
GB/T 7714 |
Elena Andreou. DP11307 On the use of high frequency measures of volatility in MIDAS regressions. 2016.
|
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