A MIDAS approach to modeling first and second moment dynamics
Davide Pettenuzzo, Allan Timmermann, Rossen Valkanov
| Year of publication: |
August 2016
|
|---|---|
| Authors: | Pettenuzzo, Davide ; Timmermann, Allan ; Valkanov, Rossen I. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 193.2016, 2, p. 315-334
|
| Subject: | MIDAS regressions | Bayesian estimation | Stochastic volatility | Out-of-sample forecasts | Inflation forecasts | Industrial production | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Theorie | Theory | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Inflation | Stichprobenerhebung | Sampling | Prognose | Forecast | Regressionsanalyse | Regression analysis | Wirtschaftsprognose | Economic forecast | Industrieproduktion | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.04.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011704952