Fed proposes high frequency method to calculate equity returns
A Federal Reserve paper published on 25 July finds a more efficient method to measure equity returns using high frequency data that takes into account volatility feedback effects.
The authors, Dobrislav Dobrev and Pawel Szerszen, use a vector auto regression model to forecast accuracy on simulated data from the S&P 500 index - an index of the prices of 500 large cap common stocks traded in the United States - and Google to provide an empirical illustration on stock returns during 2007 and 2008
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