Publications & Projects

Theoretical and evidence-based examination of multiplicative volatility models that decompose the conditional variance into a short- and a long-term component.

An R package for estimating multiplicative mixed-frequency GARCH models (GARCH-MIDAS) as proposed in Engle et al. (2013).

Provides direct access to the FRED and ALFRED databases. Its functions return tidy data frames for different releases of the specified time series.

Conferences & Summer Schools

More Talks

Contact