Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Year of publication: |
2017
|
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Authors: | Gagliardini, Patrick ; Ghysels, Eric ; Rubin, M. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 4, p. 509-560
|
Subject: | GDP forecasting | indirect inference | MIDAS regressions | state space model | stochastic volatility | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
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