There is a Risk-Return Tradeoff After All
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This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns -- the Mixed Data Sampling (or MIDAS) approach. Using MIDAS
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美国国家经济研究局创建时间：
2004-11-01
