From Ferrara and Guerin (J. App. Econometrics, 2018), using a mixed frequency approach in VARs.

Our main findings can be summarized as follows. First, we find that high‐frequency uncertainty shocks as measured by either the VIX or the Economic Policy Uncertainty (EPU) index from Baker et al. 2016 lead to a broad‐based decline in economic activity, even though the persistence and the extent of the reaction to uncertainty shocks vary across macroeconomic variables and also depend on the uncertainty measure used in the analysis. Second, impulse responses from MIDAS models typically line up well with those obtained from a standard single‐frequency VAR model, suggesting that there is no evidence in favor of a significant temporal aggregation bias when evaluating the macroeconomic effects of high‐frequency uncertainty shocks. This supports the view that, to the extent that uncertainty shocks are not protracted, there are no disproportionate macroeconomic effects attached to short‐lived spikes

Keep reading this article on Econbrowser Blog - James Hamilton & Menzie Chinn.