different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally … aggregated models misspecify the evolution frequency of the volatility dynamics, resulting in poor volatility timing and worse … mixed-frequency nature of predictors and volatility in predictive regressions …

dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …