Most
recent papers
MIDAS papers
MIDAS entry to
Wikipedia (Entry into web-based encyclopedia written by Dirk Nachbar) .
,
Regression Models With Mixed Sampling Frequencies; , (with Elena Andreou and Andros Kourtellos) Version November 2007
News - Good or Bad - and its Impact Over Multiple Horizons; , (with Xilong Chen) Version July 2007
Valuation
in the US Commercial Real Estate; , (with Rossen Valkanov
and Alberto Plazzi) Version October
2006
Forecasting
Professional Forecasters , (with Jonathan Wright)
New Version February 2006
Detailed Appendix to Forecasting
Professional Forecasters
Volatility Forecasting and
Microstructure Noise , (with Arthur
Sinko) New Version July 2006
Why Do Absolute Returns Predict
Volatility So Well? , (with Lars
Forsberg) New Version September 2006
Predicting
volatility: How to get most out of returns data sampled at different
frequencies , (with P.Santa-Clara and R.
Valkanov) Journal of Econometrics
(forthcoming)
There is
a Risk-Return Tradeoff After All , (with P.Santa-Clara
and R. Valkanov) - Journal of Financial
Economics (forthcoming)
MIDAS Regressions: Further Results and New Directions, (with A. Sinko and R. Valkanov) - Econometric Reviews (forthcoming)
Matlab software for MIDAS regressions
The Matlab code was written by Arthur Sinko (email: sinko@email.unc.edu) and uses two series
X & Y to construct the MIDAS regressions. It can simultaneously:
- compute weights of restricted/unrestricted "standard" Beta
polynomial
- compute weights of restricted/unrestricted Beta polynomial with non-zero
last lag (Warning: This specification has an identification problem for the
equally-weighted/close to the equally weighted schemes)
- compute weights of restricted/unrestricted Exp polynomial
- compute weights of MIDAS with step functions (nonnegative and general)
- compute weights of Almon lag polynomial.
- plot all of the above.
All suggestions/bugs/cases of strange behavior are very welcome to report to
Arthur Sinko. The main program file is: midas_example.m
The code can be downloaded at: http://www.unc.edu/~sinko/MATLAB.html
Quality Control for Risk Management papers
Monitoring for
Disruptions in Financial Markets , (with
Quality
Control for Structural Credit Risk Models , (with
Structural
Breaks in Financial Time Series , (with
Heterogeneity, Model Uncertainty and
Asset Pricing papers
The Impact of Risk and Uncertainty
on Expected Returns, (with
On Portfolio Separation Theorems with Heterogeneous
Beliefs and Attitudes towards Risk (with F. Chabi-Yo and E. Renault)
Skewness
Skewness and the Bubble (with J. Conrad and R. Dittmar)
On Portfolio Separation Theorems with Heterogeneous
Beliefs and Attitudes towards Risk (with F. Chabi-Yo and E. Renault)
Financial History
Price Momentum in Stocks: Using Data from the
Victorian Age to Evaluate Competing Theories,
(with Ben Chabot and Ravi Jagannathan)
Econometric
Theory and Applications papers
Approximating the
probability distribution of functions of random variables: A new approach,
(with Anders Eriksson and Lars Forsberg)
On
Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation,
(with Joao Pereira)
Efficient
Estimation of Jump Diffusions and General Dynamic Models with a Continuum of
Moment Conditions (with Marine Carrasco, Mikhail Chernov, Jean-Pierre
Florens)
The Econometrics of
Option Pricing (with R. Garcia and E. Renault)
Forecasting
Seasonal Times Series (with D. Osborn and P. Rodrigues)
Older papers
Click
here for links to SSRN downloadable papers
Click here for links to CIRANO downloadable papers
Click here for links to EconPapers downloadable papers
Click here for links to IDEAS downloadable papers
