Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
P. Gagliardini, E. Ghysels and M. Rubin
| Year of publication: |
2017
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| Authors: | Gagliardini, Patrick ; Ghysels, Eric ; Rubin, Mirco |
| 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
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| Subject: | GDP forecasting | indirect inference | MIDAS regressions | state space model | stochastic volatility | Volatilität | Volatility | Theorie | Theory | Zustandsraummodell | State space model | Regressionsanalyse | Regression analysis | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | Induktive Statistik | Statistical inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbw013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987633