A MIDAS approach to modeling first and second moment dynamics

DOI10.1016/j.jeconom.2016.04.009zbMath1391.62293MaRDI QIDQ726588

Davide Pettenuzzo, Rossen Valkanov, Allan G. 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

zbMATH Keywords

Bayesian estimation; out-of-sample forecasts; Gibbs sampling methods; industrial production; inflation forecasts; mixed-data-sampling (MIDAS) models; stochastic votality

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B82: Statistical methods; economic indices and measures

Related Items

Macroeconomics and the reality of mixed frequency data, Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model, Bayesian MIDAS penalized regressions: estimation, selection, and prediction, Incorporating overnight and intraday returns into multivariate GARCH volatility models, Fat tails in leading indicators

Uses Software

• Gibbsit

Cites Work

• Unnamed Item
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• Strictly Proper Scoring Rules, Prediction, and Estimation