The article presents a method to estimate models that combine daily financial data with less frequent macroeconomic data. The researchers use a technique called martingale estimating functions to find the model's parameters. They compare this method to other common approaches like regression and general method of moments. By applying their method to a specific model with mean-reverting interest rates, they show how it can be used in practice. The researchers also provide evidence on how well their estimators work in small samples and present estimates based on 30 years of U.S. data.