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

DOI10.1080/00949655.2021.1879082MaRDI QIDQ3389613zbMATH OpenOpenAlexFDO

Authors Nicolás Bonino-Gayoso, A. García-Hiernaux

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

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Fast estimation methods for time-series models in state–space form
• MIDAS Regressions: Further Results and New Directions
• Predicting volatility: getting the most out of return data sampled at different frequencies
• State Space Models and MIDAS Regressions
• State-space methods for time series analysis. Theory, applications and software

Cited in

(2)

• Macroeconomic forecasting evaluation of MIDAS models
• scientific article; zbMATH DE number 7601218 (Why is no real title available?)

Describes a project that uses

Uses Software

• MIDAS Regressions
• E4

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