A MIDAS approach to modeling first and second moment dynamics

DOI10.1016/J.JECONOM.2016.04.009MaRDI QIDQ726588zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayesian estimationout-of-sample forecastsGibbs sampling methodsindustrial productioninflation forecastsmixed-data-sampling (MIDAS) modelsstochastic votality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cites work

• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Bayes Factors
• Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
• Comparing density forecasts using threshold- and quantile-weighted scoring rules
• Identifying long-run risks: a Bayesian mixed-frequency approach
• Large-scale inference. Empirical Bayes methods for estimation, testing, and prediction
• MIDAS Regressions: Further Results and New Directions
• Macroeconomics and the reality of mixed frequency data
• Markov chain Monte Carlo methods for stochastic volatility models.
• Optimal prediction pools
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Strictly Proper Scoring Rules, Prediction, and Estimation

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
• scientific article; zbMATH DE number 7601218 (Why is no real title available?)
• Incorporating overnight and intraday returns into multivariate GARCH volatility models
• MIDAS Regressions: Further Results and New Directions

Describes a project that uses

Uses Software

• Gibbsit

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