Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility

DOI10.1111/RSSA.12092MaRDI QIDQ6656268zbMATH OpenFDO

Authors Andrea Carriero, Todd E. Clark, Massimiliano Marcellino

Publication date 2 January 2025

Published in Journal of the Royal Statistical Society. Series A. Statistics in Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/RSSA.12092

zbMATH Keywords

Bayesian methodsforecastingmixed frequency modelsprediction

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cited in

(8)

• Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
• Combined Density Nowcasting in an Uncertain Economic Environment
• Macroeconomic Uncertainty Through the Lens of Professional Forecasters
• Big brothering the economy: nowcasting and forecasting with port satellite images
• Bayesian group-shrinkage based estimation for panel vector autoregressive models with mixed frequency data
• Nonparametric mixed frequency monitoring macro-at-risk
• Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity
• Short-term forecasting with optimal transport

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