Regression models with mixed sampling frequencies

DOI10.1016/j.jeconom.2010.01.004zbMath1431.62580OpenAlexW2168211193MaRDI QIDQ736674

Eric Ghysels, Elena Andreou, Andros Kourtellos

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://papers.econ.ucy.ac.cy/RePEc/papers/07-08.pdf

zbMATH Keywords

high-frequency datatemporal aggregation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (20)

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Cites Work

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• MIDAS Regressions: Further Results and New Directions
• Are consumption-based intertemporal capital asset pricing models structural?
• The problem of identification in finite parameter continuous time models
• Optimal Inference in Cointegrated Systems
• The Estimation of Some Continuous Time Models
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• Temporal Aggregation in the Multiple Regression Model
• Discrete Approximations to Continuous Time Distributed Lags in Econometrics
• The Structural Estimation of a Stochastic Differential Equation System
• Linear regression using both temporally aggregated and temporally disaggregated data
• A Contribution to the Empirics of Economic Growth

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