User’s Guide : Multiple Equation Analysis : Mixed Frequency VAR : References
  
References
Ghysels, Eric, 2016. “Macroeconomics and the reality of mixed frequency data,” Journal of Econometrics, 193, 294–314.
Schorfheide, F. and Song, D, 2013. “Real-Time Forecasting with a Mixed-Frequency VAR”, NBER Working Paper No. 19712.