TF-MIDAS: a transfer function based mixed-frequency model

DOI10.1080/00949655.2021.1879082OpenAlexW3092464874MaRDI QIDQ3389613FDOQ3389613

A. García-Hiernaux, Nicolás Bonino-Gayoso

Publication date: 23 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://eprints.ucm.es/id/eprint/61296/1/subPaper_250620.pdf

zbMATH Keywords

forecastingnowcastingmixed-frequency modelsTF-MIDASU-MIDAS

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• MIDAS Regressions: Further Results and New Directions
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Fast estimation methods for time-series models in state–space form
• State Space Models and MIDAS Regressions

Cited In (2)

• Macroeconomic forecasting evaluation of MIDAS models
• Title not available (Why is that?)

Uses Software

• E4
• MIDAS Regressions

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