Browsing by Subject "Regression model"

Now showing items 1-2 of 2

    • Article  

      On the use of high frequency measures of volatility in MIDAS regressions 

      Andreou, Elena (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 ...
    • Article  

      Regression models with mixed sampling frequencies 

      Andreou, Elena; Ghysels, Eric; Kourtellos, Andros (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 ...