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