Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - 2016 - This version: January 2, 2016
We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed … called for. The approach is appealing when we consider state space models which feature stochastic volatility, or other non … stochastic volatility feature is particularly relevant when considering high frequency financial series. In addition, we propose …