The information content of high-frequency data for estimating equity return models and forecasting risk
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Journal of Econometrics, Elsevier, vol. 219(2), pages 478-487.
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Keywords
Stocks - Rate of return; Economic forecasting;NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2010-10-30 (Forecasting)
- NEP-MST-2010-10-30 (Market Microstructure)
- NEP-RMG-2010-10-30 (Risk Management)
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