This paper proposes a new test for a large set of zero restrictions in regression models based on a seemingly overlooked, but simple, dimension reduction technique. The procedure involves multiple parsimonious regression models where key regressors are split across simple regressions. Each...

We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed frequency data. While in some cases the binding function is known, in general it is not, and therefore indirect inference is called for. The approach is appealing when we consider...

We propose a general GARCH framework that allows the predict volatility using returns sampled at a higher frequency than the prediction horizon. We call the class of models High FrequencY Data-Based PRojectIon-Driven GARCH, or HYBRID-GARCH models, as the volatility dynamics are driven by what we...