To cite the 'mfGARCH' package in publications use:

Kleen O (2019). mfGARCH: Mixed-Frequency GARCH Models. R package version 0.1.9, https://github.com/onnokleen/mfGARCH/.

Conrad C, Kleen O (2018). “Two Are Better Than One: Volatility Forecasting Using Multiplicative Component GARCH Models.” Available at SSRN: https://doi.org/10.2139/ssrn.2752354.

Corresponding BibTeX entries:

  @Manual{,
    title = {mfGARCH: Mixed-Frequency GARCH Models},
    author = {Onno Kleen},
    year = {2019},
    note = {R package version 0.1.9},
    url = {https://github.com/onnokleen/mfGARCH/},
  }
  @Unpublished{,
    title = {Two Are Better Than One: Volatility Forecasting Using
      Multiplicative Component GARCH Models},
    author = {Christian Conrad and Onno Kleen},
    year = {2018},
    note = {Available at SSRN: https://doi.org/10.2139/ssrn.2752354},
  }