Browsing by Subject "Regression model"
Now showing items 1-2 of 2
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Article
On the use of high frequency measures of volatility in MIDAS regressions
(2016)Many empirical studies link mixed data frequency variables such as low frequency macroeconomic or financial variables with high frequency financial indicators’ volatilities, especially within a predictive regression model ...
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Article
Regression models with mixed sampling frequencies
(2010)We study regression models that involve data sampled at different frequencies. We derive the asymptotic properties of the NLS estimators of such regression models and compare them with the LS estimators of a traditional ...