scientific article; zbMATH DE number 7601218

DOI10.5705/SS.202020.0246MaRDI QIDQ5041335zbMATH OpenFDO

Authors Hsin-Chieh Wong, Wen-Jen Tsay

Publication date 13 October 2022

Full work available at URL https://doi.org/10.5705/SS.202020.0246

zbMATH Keywords

aggregate impact parameterasymptotic optimalitymodel averagingsemiparametric MIDAS model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A MIDAS approach to modeling first and second moment dynamics
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• scientific article; zbMATH DE number 1034037 (Why is no real title available?)
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• Least squares model averaging by Mallows criterion
• Least-squares forecast averaging
• MIDAS Regressions: Further Results and New Directions
• Model averaging by jackknife criterion in models with dependent data
• Model Selection: An Integral Part of Inference
• Order selection for same-realization predictions in autoregressive processes
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Some Comments on C P
• TF-MIDAS: a transfer function based mixed-frequency model
• Toward optimal model averaging in regression models with time series errors

Cited in

(3)

• Robust inference in AR-G/GARCH models under model uncertainty
• Forward-validation model averaging for discrete response MIDAS model
• Valid post-averaging inference in AR-G/GARCH models

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