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