Reverse restricted MIDAS model with application to US interest rate forecasts
DOI10.1080/03610918.2018.1563148zbMath1489.62379OpenAlexW2913799676WikidataQ128519457 ScholiaQ128519457MaRDI QIDQ5083996
Qifa Xu, Fang Sun, Xingxuan Zhuo, Xue Huang, Cuixia Jiang
Publication date: 21 June 2022
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2018.1563148
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Uses Software
Cites Work
- MIDAS Regressions: Further Results and New Directions
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Macroeconomics and the reality of mixed frequency data
- Regression models with mixed sampling frequencies
- Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies
- The Integration of Artificial Neural Networks and Text Mining to Forecast Gold Futures Prices
- Regression Quantiles
- Prediction of temporally aggregated systems involving both stock and flow variables
- Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models
- State Space Models and MIDAS Regressions
This page was built for publication: Reverse restricted MIDAS model with application to US interest rate forecasts