Supremacy of realized variance MIDAS egression in volatility forecasting of mutual funds: empirical evidence from Malaysia
Combining the strength of both Mixed Data Sampling (MIDAS) Regression and realized variance measures, this paper seeks to investigate two objectives: (1) evaluate the post-sample performance of the proposed weekly Realized Variance-MIDAS (RVar-MIDAS) in one-week ahead volatility forecasting against...
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Korea Institute of Science and Technology Information
2022
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