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N°16-46: Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models, P. Gagliardini, E. Ghyseks, and M. Rubin, 2016.

N°16-46: Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models, P. Gagliardini, E. Ghyseks, and M. Rubin, 2016.

AuthorP. Gagliardini, E. Ghyseks, and M. Rubin
Date24 juil 2016
CatégorieWorking Papers
Linkhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=2713703

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