Open AccessIndirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models
Author(s) -
Patrick Gagliardini,
Éric Ghysels,
Mirco Rubin
Publication year - 2016
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2713703
Subject(s) - econometrics , arch , indirect inference , inference , stochastic volatility , volatility (finance) , state space representation , state space , estimation , mathematics , statistics , economics , computer science , algorithm , engineering , artificial intelligence , estimator , civil engineering , management
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