Rossen Valkanov

Overview

Rossen Valkanov is a financial economist (UC San Diego Rady School of Management; formerly UCLA Anderson School of Management) working on asset pricing, volatility forecasting, and mixed-frequency econometric methods. He is a co-developer of the MIDAS regression framework.

Key Contributions / Features

• MIDAS Volatility Forecasting (Ghysels-Santa-Clara-Valkanov 2006) — Co-authored "Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies," Journal of Econometrics 131: 59–95. Key result: realized power variation $\tilde{P}^{(m)}$ dominates all daily and intraday volatility predictors within MIDAS; Beta polynomial weights concentrate information in ~30 days of lags versus ABDL's long-memory tail of $>50$ effective lags. See MIDAS Regression.
• Risk-Return Tradeoff (Ghysels-Santa-Clara-Valkanov 2005 JFE) — "There Is a Risk-Return Tradeoff After All," Journal of Financial Economics 76(3): 509–548. Co-demonstrated that conditional risk-return relationship is positive when estimated with MIDAS-based conditional variance.
• Long-Horizon Return Predictability — Research on predictability regressions at long horizons, addressing the Stambaugh (1999) bias in small samples.

Related

• Eric Ghysels
• Pedro Santa-Clara
• MIDAS Regression
• Realized Volatility
• Ghysels-Santa-Clara-Valkanov (2006)