How and When Are High-Frequency Stock Returns Predictable?
- Yacine Ait-Sahalia,
Yacine Ait-Sahalia
[email protected]Department of Economics, Princeton University, Princeton, New Jersey 08540; and National Bureau of Economic Research, Cambridge, Massachusetts 02138
- Jianqing Fan ,
Corresponding Author
Jianqing Fan
[email protected]https://orcid.org/0000-0003-3250-7677
International School of Economics and Management, Beijing Capital University of Economics and Business, Beijing 100070, China; and Department of Operations Research and Financial Engineering, Princeton University, Princeton, New Jersey 08540
- Lirong Xue,
Lirong Xue
[email protected]Department of Operations Research and Financial Engineering, Princeton University, Princeton, New Jersey 08540
- Xiaonan Zhu
Xiaonan Zhu
[email protected]https://orcid.org/0000-0002-2191-7630
Department of Operations Research and Financial Engineering, Princeton University, Princeton, New Jersey 08540
Yacine Ait-Sahalia
[email protected]Department of Economics, Princeton University, Princeton, New Jersey 08540; and National Bureau of Economic Research, Cambridge, Massachusetts 02138
Corresponding Author
Jianqing Fan
[email protected]https://orcid.org/0000-0003-3250-7677
International School of Economics and Management, Beijing Capital University of Economics and Business, Beijing 100070, China; and Department of Operations Research and Financial Engineering, Princeton University, Princeton, New Jersey 08540
Lirong Xue
[email protected]Department of Operations Research and Financial Engineering, Princeton University, Princeton, New Jersey 08540
Xiaonan Zhu
[email protected]https://orcid.org/0000-0002-2191-7630
Department of Operations Research and Financial Engineering, Princeton University, Princeton, New Jersey 08540
Supplemental Material
The replication files for this article are available HERE.
