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Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models.
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- Journal of Financial Econometrics, 2019, v. 17, n. 4, p. 687, doi. 10.1093/jjfinec/nbx025
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Inference in Group Factor Models With an Application to Mixed‐Frequency Data.
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- Econometrica, 2019, v. 87, n. 4, p. 1267, doi. 10.3982/ECTA14690
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- Article
Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models.
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- Journal of Financial Econometrics, 2017, v. 15, n. 4, p. 509, doi. 10.1093/jjfinec/nbw013
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- Article