guideR.bib

@article{chen:ngo1,
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  author={Chen, X. and Ghysels, E.},
  journal={Review of Financial Studies},
  year={2011},
  volume = 24,
  pages = {46-81}
}


@unpublished{ghysels_etal_midas-02a,
    Author="Ghysels, Eric and Santa-Clara, Pedro and Valkanov, Rossen",
    Title="{The MIDAS touch: Mixed data Sampling Regression Models}",
    Year=2002,
    Note={Working paper, UNC and UCLA}
}

@techreport{alper2008forecasting,
  title={{Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets}},
  author={Alper, C.E. and Fendoglu, S. and Saltoglu, B.},
  year={2008},
  institution={MPRA Paper No. 7460}
}

@article{andreou:rmm,
  title={Regression Models With Mixed Sampling Frequencies},
  author={Andreou, Elena and Ghysels, Eric and Kourtellos, Andros},
  journal={Journal of Econometrics},
  volume = {158},
  pages={246-261},
  year={2010}
}

@article{armesto:mic,
  title={Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach},
  author={Armesto, Michelle T. and Hernandez-Murillo, Rub{\'e}n and Owyang, Michael and Piger, Jeremy},
  journal={Journal of Money, Credit and Banking},
   volume = {41},
   pages = {35--55},
   year = 2009
}


@article{clements2008mfm,
  title={{Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth}},
  author={Clements, M. and Galv{\~a}o, A.},
  journal={Journal of Business and Economic Statistics},
  volume={26},
  pages={546--554},
  year={2008}
}

@article{clements2008fuo,
title={{Forecasting US output growth using Leading Indicators: An appraisal using MIDAS models}},
  author={Clements, M.P. and Galv{\~a}o, A.B.},
  journal={Journal of Applied Econometrics (forthcoming)},
  year={2008}
}

@unpublished{frale-famidas,
  title={{FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure}},
  author={Frale, C. and Monteforte, L.},
  note={Bank of Italy Temi di Discussione - Working Paper No. 788},
  year={2011}
}

@article{kuzin-midas,
  title={{MIDAS versus mixed-frequency VAR: Nowcasting GDP in the Euro Area}},
  author={Kuzin, V. and Marcellino, M. and Schumacher, C.},
  journal={International Journal of Forecasting},
  volume={27},
  pages={529--542},
  year={2011}
}

@unpublished{monteforte-real,
  title={{Real time forecasts of inflation: the role of financial variables}},
  author={Monteforte, L. and Moretti, G.},
    year={2012},
  note = {{\it Journal of Forecasting}, (forthcoming)}
}

@article{marcellino2010factor,
  title={{Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP}},
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  volume={72},
  pages={518--550},
  year={2010}
}

@article{schumacher2008rtf,
  title={Real-time Forecasting of German GDP Based on a Large Factor Model with Monthly and Quarterly Data},
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  volume={24},
  pages={386--398},
  year={2008}
}

@article{AGK_macro,
  title={Should macroeconomic forecasters look at daily financial data?},
  author={Andreou, E. and Ghysels, E. and Kourtellos, A.},
  YEAR=2013,
 journal={Journal of Business and Economic Statistics},
 volume=31,
 pages={240-251}
}

@article{hamilton2008daily,
  title={{Daily monetary policy shocks and new home sales}},
  author={Hamilton, J.D.},
  journal={Journal of Monetary Economics},
  volume={55},
  pages={1171--1190},
  year={2008}
}

@article{ghysels2007valuation,
  title={{Valuation in US commercial real estate}},
  author={Ghysels, E. and Plazzi, A. and Valkanov, R.},
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  volume={13},
  pages={472--497},
  year={2007}
}

@techreport{valkanov-does,
  title={{Does the Early Exercise Premium Contain Information about Future Underlying Returns?}},
  author={Valkanov, R. and Yadav, P. and Zhang, Y.},
 institution={Discussion Paper UCSD},
 year = {2009}
}

@article{colacito:cmd,
  title={{A component model for dynamic correlations}},
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  pages= {45-59}
}

@article{baele2010determinants,
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}


@unpublished{engle2006ess,
  title={{On the Economic Sources of Stock Market Volatility}},
  author={Engle, R.F. and Ghysels, E. and Sohn, B.},
  note={{\it Review of Economics and Statistics} (forthcoming)},
  year={2012}
}


@unpublished{brown_ferreira-03,
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    Note={Working paper, Univesrity of Wisconsin and ISCTE}
}

@techreport{chen2009hybrid,
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  author={Chen, X. and Ghysels, E. and Wang, F.},
  year={2010},
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}

@article{chen2009role,
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  author={Chen, X. and Ghysels, E. and Wang, F.},
  year={2011},
  journal={Journal of Time Series Econometrics},
  volume = 3
}

@article{clements2008quantile,
  title={{Quantile forecasts of daily exchange rate returns from forecasts of realized volatility}},
  author={Clements, M.P. and Galv{\~a}o, A.B. and Kim, J.H.},
  journal={Journal of Empirical Finance},
  volume={15},
  pages={729--750},
  year={2008}
}

@article{ForsGhys2003b,
  author = {Lars Forsberg and Eric Ghysels},
  year = 2006,
  title = {Why do absolute returns predict volatility so well?},
  Journal = {Journal of Financial Econometrics},
  volume = 6,
  pages = {31-67}
}

@article{ghysels_etal_midas-jfe,
    Author="Ghysels, Eric and Santa-Clara, Pedro and Valkanov, Ross",
    Title="{There is a risk-return tradeoff after all}",
    Year=2005,
    Journal={Journal of Financial Economics},
    volume = 76,
    pages= {509-548}
}


@article{ghysels_etal_midas-joe,
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   Title="{Predicting volatility: getting the most out of return data sampled at different frequencies}",
   Year=2006,
   Journal={Journal of Econometrics},
   Volume = 131,
   Pages = {59-95}
}


@article{ghyselsSinko06,
  author = {Ghysels, E. and A. Sinko},
  year = 2006,
  title = {Comment on Realized variance and market microstructure noise by P. R. Hansen and Asger Lunde},
 journal ={Journal of Business and Economic Statistics},
 volume = {24},
 pages = {192-194}
}



@article{Ghysels_Sinko2005,
  author = {E. Ghysels and A. Sinko},
  year = 2011,
  title = {Volatility Prediction and Microstructure Noise},
  journal = {Journal of Econometrics},
  volume = 160,
  pages = {257-271}
}


@unpublished{ghysels-multi,
  title={{Multi-Period Forecasts of Variance: Direct, Iterated, and Mixed-Data Approaches}},
  author={Ghysels, E. and Rubia, A. and Valkanov, R.},
  year={2008},
  Note={Working paper, Alicante, UCSD and UNC}
}

@article{leon2007rbr,
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  author={Le{\'o}n, {\'A}ngel. and Nave, Juan M. and Rubio, Gonzalo},
  journal={Journal of Banking and Finance},
  volume={31},
  pages={495--512},
  year={2007}
}
@inproceedings{andreou2011forecasting,
  title={Forecasting with mixed-frequency data},
  author={Andreou, E. and Ghysels, E. and Kourtellos, A.},
  booktitle={Oxford Handbook of Economic Forecasting},
  editor={Clements. M. and Hendry, D.},
  pages={225-245},
  year={2011}
}

@inproceedings{ghysels_valkanov_chap,
  title={{Forecasting volatility with MIDAS}},
  author={Ghysels, E. and Valkanov, R.},
  Booktitle={Handbook of Volatility Models and Their Applications},
  editor={Bauwens, L. and Hafner, C. and Laurent, S.},
  pages={383--401},
  year={2012},
  publisher={{John Wiley \& Sons}}
}
@article{armesto2010forecasting,
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  volume={92},
  pages={521--536},
  year={2010}
}

@article{bai:kalman,
  title={State Space Models and MIDAS Regressions},
  author={Bai, J. and Ghysels, E. and Wright, J.},
  journal={Econometric Reviews (forthcoming)},
  year={2012}
}

@techreport{kvedaras-regression,
  title={{Regression Models with Variables of Different Frequencies: The Case of a Fixed Frequency Ratio}},
  author={Kvedaras, V. and Ra{\v{c}}kauskas, A.},
  institution={{\it Oxford Bulletin of Economics and Statistics}, forthcoming.},
  year = {2010}
}
@article{rodriguez2010mixed,
  title={{Mixed Frequency Models: Bayesian Approaches to Estimation and Prediction}},
  author={Rodriguez, A. and Puggioni, G.},
  journal={International Journal of Forecasting},
  year={2010},
  volume={26},
  pages={293--311}
}

@techreport{wohlrabe2009forecasting,
  title={{Forecasting with Mixed-frequency Time Series Models}},
  author={Wohlrabe, K.},
  year={2009},
  institution={Ph. D. Dissertation Ludwig-Maximilians-Universitat Munchen}
}

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@UNPUBLISHED{foroni,
  title={{U-MIDAS: MIDAS Regressions with Unrestricted Lag Polynomials}},
  author={Foroni, Claudia and Marcellino, Massimiliano and Schumacher, Christian},
  note = {{\it Journal of the Royal Statistical Society A} (forthcoming)},
  year = 2014
}

@article{chen2011news,
  title={News - Good or Bad - and Its Impact on Volatility Predictions over Multiple Horizons},
  author={Chen, X. and Ghysels, E.},
  journal={Review of Financial Studies},
  volume={24-81},
  pages={46},
  year={2011}
}

@article{bai2002determining,
  title={{Determining the Number of Factors in Approximate Factor Models}},
  author={Bai, J. and Ng, S.},
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  year={2002}
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@article{bai2003inferential,
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  pages={135--171},
  year={2003}
}
@article{forni2000generalized,
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  year={2005}
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@article{stock2003forecasting,
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  year={2003}
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@inproceedings{stock2008fdf,
  title={{Forecasting in Dynamic Factor Models Subject to Structural Instability}},
  author={Stock, J.H. and Watson, M.W.},
    editor = {Jennifer Castle and Neil Shephard},
    Booktitle={The Methodology and Practice of Econometrics, A Festschrift in Honour of Professor David F. Hendry},
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  year={2008}
}

@article{nunes2005nowcasting,
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  year={2005}
}

@INCOLLECTION{Timmermann:forc,
  author = {Timmermann, Allan},
  editor = {Elliott, G. and Granger, C. and Timmermann, A.},
  title = {Forecast Combinations},
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  year = {2006},
  volume = {1},
  pages = {136--196},
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  address = {Amsterdam}
}

@article{Stock:comb7,
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  number = {6},
  pages={405--430},
  year={2004}
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@unpublished{SW:Phillips,
  title={Phillips Curve Inflation Forecasts},
  author={Stock, James H. and Watson, Mark W.},
  note={NBER Working paper},
  year={2008}
}




@article{engle2008sgm,
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@article{ghysels_wright,
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   year={2009}
}

@article{ghysels:mrf,
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}

@unpublished{ghysels_mfvar,
author = {Ghysels, Eric},
title={Macroeconomics and the Reality of Mixed Frequency Data},
year = {2012},
note = {SSRN: \url{http://ssrn.com/abstract=2069998 or http://dx.doi.org/10.2139/ssrn.2069998}}
}


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@UNPUBLISHED{kuzin:mvm,
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  note = {Discussion Paper 07/2009 Deutsche Bundesbank},
  year = 2009
}
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@unpublished{ghysels:2013,
        title = {\proglang{MATLAB} Toolbox for Mixed Sampling Frequency Data Analysis using {MIDAS} Regression Models},
        author = {Eric Ghysels},
        month = jan,
        year = {2013},
	Note={Available on \proglang{MATLAB} Central at \url{http://www.mathworks.com/matlabcentral/fileexchange/45150-midas-regression}}
}


@article{corsi2009simple,
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  year={2009}
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@unpublished{bilinskas:2013,
    Author={Bilinskas, Benediktas and Zemlys, Vaidotas},
    Title={Testing the Functional Constraints on Parameters in Regression Models with Cointegrated Variables of Different Frequency},
    Year=2013,
    Note={Submitted, available upon a request}
}
@unpublished{kvedaras:2013b,
    Author={Bilinskas, Benediktas and Kvedaras, Virmantas and Zemlys, Vaidotas},
    Title={Testing the Functional Constraints on Parameters in Cointegrated MIDAS regressions},
    Year=2013,
    Note={Working paper, available upon a request}
}
@unpublished{kvedaras:2013,
    Author={Kvedaras, Virmantas and Zemlys, Vaidotas},
    Title={The Statistical Content and Empirical Testing of the MIDAS Restrictions},
    Year=2013,
    Note={Submitted, available upon a request}
}

@article{kvedaras:2012,
  title={Testing the Functional Constraints on Parameters in Regressions With Variables of Different Frequency},
  author={Kvedaras, Virmantas and Zemlys, Vaidotas},
  journal={Economics Letters},
  volume={116},
  number={2},
  pages={250--254},
  year={2012},
  publisher={North-Holland}
}
@article{zeileis:2004,
  author =	"Achim Zeileis",
  title =	"Econometric Computing with HC and HAC Covariance Matrix Estimators",
  journal =	"Journal of Statistical Software",
  volume =	"11",
  number =	"10",
  pages =	"1--17",
  day =  	"29",
  month =	"11",
  year = 	"2004",
  CODEN =	"JSSOBK",
  ISSN = 	"1548-7660",
  bibdate =	"2004-11-29",
  URL =  	"http://www.jstatsoft.org/v11/i10",
  accepted =	"2004-11-29",
  acknowledgement = "",
  keywords =	"",
  submitted =	"2004-11-09",
}

@article{zeileis:2006,
  author =	"Achim Zeileis",
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  number =	"9",
  pages =	"1--16",
  year = 	"2006",
  URL =  	"http://www.jstatsoft.org/v16/i09",
}



@unpublished{breitung:2013,
    Author={Breitung, Jorg and Roling, Christoph and Elengikal, Suma},
    Title={Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach},
    Year=2013,
    Note={working paper},
    url={http://www.ect.uni-bonn.de/mitarbeiter/joerg-breitung/npmidas}
}

@unpublished{oxmandata,
    Author={Heber, Gerd and Lunde, Asger and Shephard, Neil and Sheppard, Kevin},
    Title={Oxford-Man Institute's Realized Library},
    Year=2009,
    Note={Oxford-Man Institute, University of Oxford. Library Version 0.2}
}

@Article{optimx,
    title = {Unifying Optimization Algorithms to Aid Software System
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    year = {2011},
    volume = {43},
    number = {9},
    pages = {1--14},
    url = {http://www.jstatsoft.org/v43/i09/},
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@Article{optimx2,
    title = {On Best Practice Optimization Methods in R},
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    url = {http://www.jstatsoft.org/v60/i02/},
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@Manual{numderiv,
    title = {numDeriv: Accurate Numerical Derivatives},
    author = {Paul Gilbert and Ravi Varadhan},
    year = {2015},
    note = {R package version 2014.2-1},
    url = {http://CRAN.R-project.org/package=numDeriv},
  }
  
@Manual{midasr,
    title = {Mixed Frequency Data Sampling Regression Models: The \proglang{R} Package \pkg{midasr}},
    author = {Eric Ghysels and Virmantas Kvedaras and Vaidotas Zemlys},
    note = {\proglang{R} package version 0.5},
    url = {http://CRAN.R-project.org/package=midasr},
    year = {2015},
  }
  
@Manual{Rcore,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2015},
    url = {http://www.R-project.org/},
  }