TOC: J Econometrics
Introduction
Journal of Econometrics, 193(2)
The econometric analysis of mixed frequency data sampling
–Eric Ghysels, Massimiliano Marcellino [] []
Macroeconomics and the reality of mixed frequency data
–Eric Ghysels [] []
A MIDAS approach to modeling first and second moment dynamics
–Davide Pettenuzzo, Allan Timmermann, Rossen Valkanov [] []
Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs
–Massimiliano Marcellino, Vasja Sivec [] []
High-dimensional copula-based distributions with mixed frequency data
–Dong Hwan Oh, Andrew J. Patton [] []
On the use of high frequency measures of volatility in MIDAS regressions
–Elena Andreou [] []
The estimation of continuous time models with mixed frequency data
–Marcus J. Chambers [] []
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
–F. Blasques, S.J. Koopman, M. Mallee, Z. Zhang [] []
Testing for Granger causality in large mixed-frequency VARs
–Thomas B. Götz, Alain Hecq, Stephan Smeekes [] []
A computationally efficient method for vector autoregression with mixed frequency data
–Hang Qian [] []
Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data
–Peter A. Zadrozny [] []
