Dear Tom, I have a question, has anyone tried to replicate this work of Todd Clark?. This seems to be done in RATS, so far at least I have not found anything in the forum like this that use Bayesian methods with mixed frequency models and stochastic volatility.
Best regards, and thanks in advance
Carriero, Andrea, Clark, Todd E. and Marcellino, Massimiliano Giuseppe, Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility (November 14, 2012). FRB of Cleveland Working Paper No. 12-27. Available at SSRN: http://ssrn.com/abstract=2175843