Open AccessIndirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models
Author(s) -
Gagliardini,
Ghysels,
Рубин
Publication year - 2017
Publication title -
carolina digital repository (university of north carolina at chapel hill)
Language(s) - English
DOI - 10.17615/mcep-4v27
Subject(s) - indirect inference , econometrics , inference , arch , state space representation , stochastic volatility , estimation , state space , volatility (finance) , mathematics , computer science , statistics , economics , algorithm , artificial intelligence , engineering , structural engineering , management , estimator
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