MIDAS Regressions: Further Results and New Directions
Work
Year: 2007
Type: article
Abstract: We explore mixed data sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Volatility and related processes are our prime focus, t... more
Source: Econometric Reviews
Cites: 99
Cited by: 881
Related to: 10
FWCI: 17.97
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green