Macroeconomic forecasting evaluation of MIDAS models
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Publication:6609949
DOI10.1007/978-3-031-40209-8_10MaRDI QIDQ6609949FDOQ6609949
A. García-Hiernaux, Nicolás Bonino-Gayoso
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
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- 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
- 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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