Macroeconomic forecasting evaluation of MIDAS models
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Publication:6609949
DOI10.1007/978-3-031-40209-8_10MaRDI QIDQ6609949FDOQ6609949
Authors: Nicolás Bonino-Gayoso, A. García-Hiernaux 
Publication date: 24 September 2024
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)
Cites Work
- 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 methods for time series analysis. Theory, applications and software
- Mixed data sampling (MIDAS) regression models
- TF-MIDAS: a transfer function based mixed-frequency model
- Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
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