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Article
Title:
Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies
Authors:
Eric Ghysels
(
U North Carolina
)
Pedro Santa Clara
(
UCLA
)
Rossen Valkanov
(
UCLA
)
Journal:
Journal of Econometrics
Year:
2006
Volume:
131
Pages:
59-95
JEL codes:
C53 - Forecasting and Other Model Applications
G12 - Asset Pricing; Trading volume; Bond Interest Rates
C22 - Time-Series Models
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