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To cite the 'mfGARCH' package in publications use:
Kleen O (2026). mfGARCH: Mixed-Frequency GARCH Models. R package version 0.2.2, https://github.com/onnokleen/mfGARCH/.
Conrad C, Kleen O (2020). “Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models.” Journal of Applied Econometrics, 35(1), 19-45. doi:10.1002/jae.2742, https://doi.org/10.1002/jae.2742.
Corresponding BibTeX entries:
@Manual{,
title = {mfGARCH: Mixed-Frequency GARCH Models},
author = {Onno Kleen},
year = {2026},
note = {R package version 0.2.2},
url = {https://github.com/onnokleen/mfGARCH/},
}
@Article{,
title = {Two are better than one: Volatility forecasting using
multiplicative component GARCH-MIDAS models},
author = {Christian Conrad and Onno Kleen},
year = {2020},
journal = {Journal of Applied Econometrics},
volume = {35},
number = {1},
pages = {19-45},
doi = {10.1002/jae.2742},
url = {https://doi.org/10.1002/jae.2742},
}
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They may not be fully stable and should be used with caution. We make no claims about them.
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