Solving the Problem of the Two Phenomena
Now that we've identified one of the main causes of these two related phenomena, there are several ways that we might tackle the problem. The following options also include discussions by Hawkins in Chapters 2 and 9 that readers might have missed.
Option #1: Using the High and Low
The first obvious solution is to add the two high and low curves of Figure 13.3 to the default “average price” MIDAS curve I've been using throughout this book. Indeed, one might suggest removing the “average price” curve ...