Alper, C.E., S. Fendoglu, and B. Saltoglu. 2008. “Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets.” MPRA Paper 7460. [OpenAIRE]
Andreou, E., E. Ghysels, and A. Kourtellos. 2010. “Regression Models with Mixed Sampling Frequencies.” Journal of Econometrics 158, 246-261. [OpenAIRE]
Andreou, E., E. Ghysels, and A. Kourtellos. 2011. “Forecasting with Mixed-frequency Data.” in Oxford Handbook of Economic Forecasting, M.P. Clements and D.F. Hendry, eds. Oxford: Oxford University Press, 225-246. [OpenAIRE]
Andreou, E., E. Ghysels, and A. Kourtellos. 2012. “Should Macroeconomic Forecasters Use Daily Financial Data and How?” Journal of Business and Economic Statistics, forthcoming. [OpenAIRE]
Armesto, M.T., R. Hern´andez-Murillo, M.T. Owyang, and J. Piger. 2009. “Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach,” Journal of Money, Credit and Banking 41, 35-55.
Armesto, M.T., K.M. Engemann, and M.T. Owyang. 2010. “Forecasting with Mixed Frequencies,” Federal Reserve Bank of St. Louis Review 92, 521-536. [OpenAIRE]
Bai, J., E. Ghysels, and J.H. Wright. 2010. “State Space Models and MIDAS Regressions,” Department of Economics, University of North Carolina, mimeo.
Barsky, R.B. and L. Kilian. 2004. “Oil and the Macroeconomy Since the 1970's,” Journal of Economic Perspectives 18, 115-134.
Benjanuvatra, S. 2009. “A Real-Time Comparison of Mixed-Frequency Models for Predicting GDP,” University of York, mimeo.
Chambers, M.J. 2003. “The Asymptotic Efficiency of Cointegration Estimators under Temporal Aggregation,” Econometric Theory 19, 49-77.
Chambers, M.J. 2009. “Discrete Time Representations of Cointegrated Continuous-Time Models with Mixed Sample Data,” Econometric Theory 25, 1030-1049.
Chambers, M.J. 2011. “Cointegration and Sampling Frequency,” Econometrics Journal 14, 156- 185.
Chambers, M.J. and J.R. McCrorie. 2007. “Frequency Domain Estimation of Temporally Aggregated Gaussian Cointegrated Systems,” Journal of Econometrics 136, 1-29. [OpenAIRE]