Search Results - subject:"Mixed data sampling"

Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - Norges Bank - 2014

mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions with and without an …

Persistent link: https://www.econbiz.de/10010835403

Mixed frequency structural VARs

Foroni, Claudia; Marcellino, Massimiliano - 2014

Persistent link: https://www.econbiz.de/10010238420

MIDAS and bridge equations

Schumacher, Christian - 2014

This paper compares two single-equation approaches from the recent nowcast literature: Mixed-data sampling (MIDAS …

Persistent link: https://www.econbiz.de/10010432327

MIDAS regressions with time-varying parameters : an application to corporate bond spreads and GDP in the Euro area ; conference paper

Schumacher, Christian - 2014 - 3 February 2014

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by …

Persistent link: https://www.econbiz.de/10010481353

Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach

Asgharian, Hossein; Hou, Ai Jun; Javed, Farrukh - Knut Wicksells centrum för finansvetenskap, … - 2013

This paper applies the GARCH-MIDAS (Mixed Data Sampling) model to examine whether information contained in …

Persistent link: https://www.econbiz.de/10010818798

Sluggish private investment in Japan's Lost Decade : mixed frequency vector autoregression approach

Motegi, Kaiji; Sadahiro, Akira - In: The North American journal of economics and finance : a … 43 (2018), pp. 118-128

Persistent link: https://www.econbiz.de/10012036270

Macroeconomic determinants of stock market betas

González Sánchez, Mariano; Nave, Juan; Rubio, Gonzalo - In: Journal of empirical finance 45 (2018), pp. 26-44

Persistent link: https://www.econbiz.de/10012102444

A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets

Gong, Yuting; Chen, Qiang; Liang, Jufang - In: Economic modelling 68 (2018), pp. 586-598

Persistent link: https://www.econbiz.de/10011936141

Asymmetric responses in the timing, and magnitude, of changes in Australian monthly petrol prices to daily oil price changes

Valadkhani, Abbas; Smyth, Russell - In: Energy economics 69 (2018), pp. 89-100

Persistent link: https://www.econbiz.de/10011941164

Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures

Miller, J. Isaac - Economics Department, University of Missouri - 2012

Parsimoniously specified distributed lag models have enjoyed a resurgence under the MiDaS moniker (Mixed Data Sampling … data sampling (CoMiDaS) regressions. I derive asymptotic limits under substantially more general conditions than the extant …) as a feasible way to model time series observed at very different sampling frequencies. I introduce cointegrating mixed …

Persistent link: https://www.econbiz.de/10011076208