We describe Bayesian models for economic and financial time series that use regressors sampled at higher frequencies than the outcome of interest. The models are developed within the framework of dynamic linear models, which provides a high level of flexibility and allows direct interpretation...

Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing prices along with...