Andreou, Elena, Eric Ghysels, and Andros Kourtellos, 2013. “Should macroeconomic forecasters use daily financial data and how?” Journal of Business and Economic Statistics, 3, 240–251.

Armesto, Michelle T., Kristie M. Engemann, and Michael T. Owyang, 2010. “Forecasting with mixed frequencies,” Federal Reserve Bank of St. Louis Review, 92, 521–36.

Ghysels, Eric, Pedro Santa-Clara, and Rossen Valkanov, 2004. “The MIDAS touch: Mixed data sampling regression models,” University of North Carolina and UCLA Discussion Paper.

Ghysels, Eric, Pedro Santa-Clara, and Rossen Valkanov, 2006. “Predicting volatility: getting the most out of return data sampled at different frequencies,” Journal of Econometrics, 131, 59–95.

Ghysels, Eric, Arthur Sinko, and Rossen Valkanov, 2007. “MIDAS regressions: Further results and new directions,” Econometric Reviews, 26, 53–90.