The MIDAS Touch: Mixed Data Sampling Regression Models
作者： Rossen Valkanov , Eric Ghysels , Pedro Santa-Clara
DOI:
关键词:
摘要: … We introduce Mixed Data Sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Technically speaking MIDAS …
socionet.ru
erudit.org 参考文章(37)
David P. Brown, Miguel A. Ferreira, Information in the Idiosyncratic Volatility of Small Firms Social Science Research Network. ,(2004) , 10.2139/SSRN.475401
Leping Wang, On the Intertemporal Risk-Return Relation---a Bayesian Model Comparison Perspective pp. 1- ,(2004)
James H. Stock, Mark W. Watson, Introduction to Econometrics ,(2002)
Jeffrey M. Wooldridge, Introductory Econometrics: A Modern Approach ,(1999)
Elena Andreou, Eric Ghysels, Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results Journal of Business & Economic Statistics. ,vol. 20, pp. 363- 376 ,(2002) , 10.1198/073500102288618504
Feike C. Drost, Bas J.M. Werker, Closing the GARCH gap: Continuous time GARCH modeling Journal of Econometrics. ,vol. 74, pp. 31- 57 ,(1996) , 10.1016/0304-4076(95)01750-X
A. C. Harvey, R. G. Pierse, Estimating Missing Observations in Economic Time Series Journal of the American Statistical Association. ,vol. 79, pp. 125- 131 ,(1984) , 10.1080/01621459.1984.10477074
F. Comte, E. Renault, Noncausality in Continuous Time Models Econometric Theory. ,vol. 12, pp. 215- 256 ,(1996) , 10.1017/S0266466600006575
Christopher A. Sims, DISCRETE APPROXIMATIONS TO CONTINUOUS TIME DISTRIBUTED LAGS IN ECONOMETRICS Econometrica. ,vol. 39, pp. 545- 563 ,(1971) , 10.2307/1913265
Kenneth F. Wallis, Seasonal Adjustment and Relations between Variables Journal of the American Statistical Association. ,vol. 69, pp. 18- 31 ,(1974) , 10.1080/01621459.1974.10480123