Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models
- Submitting institution
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University of Bristol
- Unit of assessment
- 17 - Business and Management Studies
- Output identifier
- 166046229
- Type
- D - Journal article
- DOI
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10.1093/jjfinec/nbw013
- Title of journal
- Journal of Financial Econometrics
- Article number
- nbw013
- First page
- 509
- Volume
- 15
- Issue
- 4
- ISSN
- 1479-8409
- Open access status
- Compliant
- Month of publication
- February
- Year of publication
- 2017
- URL
-
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- Supplementary information
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-
- Request cross-referral to
- -
- Output has been delayed by COVID-19
- No
- COVID-19 affected output statement
- -
- Forensic science
- No
- Criminology
- No
- Interdisciplinary
- No
- Number of additional authors
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2
- Research group(s)
-
-
- Proposed double-weighted
- No
- Reserve for an output with double weighting
- No
- Additional information
- -
- Author contribution statement
- -
- Non-English
- No
- English abstract
- -