A MIDAS approach to modeling first and second moment dynamics
DOI10.1016/J.JECONOM.2016.04.009zbMATH Open1391.62293OpenAlexW3125253874MaRDI QIDQ726588FDOQ726588
Authors: Davide Pettenuzzo, Rossen Valkanov, Allan Timmermann 
Publication date: 12 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.009
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Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Cites Work
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Markov chain Monte Carlo methods for stochastic volatility models.
- Comparing density forecasts using threshold- and quantile-weighted scoring rules
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Bayes Factors
- MIDAS Regressions: Further Results and New Directions
- Large-scale inference. Empirical Bayes methods for estimation, testing, and prediction
- Optimal prediction pools
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
- Identifying long-run risks: a Bayesian mixed-frequency approach
- Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
- Macroeconomics and the reality of mixed frequency data
Cited In (8)
- Fat tails in leading indicators
- Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
- Nowcasting with large Bayesian vector autoregressions
- Macroeconomics and the reality of mixed frequency data
- Bayesian MIDAS penalized regressions: estimation, selection, and prediction
- Title not available (Why is that?)
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- MIDAS Regressions: Further Results and New Directions
Uses Software
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