Search Results - subject:"Mixed-frequency data sampling"

Which daily equity returns improve output forecasts?

Jahan-Pavar, Mohammad R.; Lang, William J. - In: Economics letters 243 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10015080391

Nowcasting real GDP in Tunisia using large datasets and mixed-frequency models

Ben Rhomdhane, Hagher; Benlallouna, Brahim Mehdi - 2022

This study aims to construct a new monthly leading indicator for Tunisian economic activity and to forecast Tunisian quarterly real GDP (RGDP) using several mixed-frequency models. These include a mixed dynamic factor model, unrestricted mixed-data sampling (UMIDAS), and a threepass regression...

Persistent link: https://www.econbiz.de/10013179409

Nowcasting real GDP in Tunisia using large datasets and mixed-frequency models

Ben Rhomdhane, Hagher; Benlallouna, Brahim Mehdi - 2022

Persistent link: https://www.econbiz.de/10012887758

Can real-time investor sentiment help predict the high-frequency stock returns? : evidence from a mixed-frequency-rolling decomposition forecasting method

Cai, Yi; Tang, Zhenpeng; Chen, Ying - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-25

Persistent link: https://www.econbiz.de/10014534832

Forecasting oil futures returns with news

Pan, Zhiyuan; Zhong, Hao; Wang, Yudong; Huang, Juan - In: Energy economics 134 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015047137

Nowcasting the real GDP growth of Rwanda

Manishimwe, Christian; Mikebanyi, Priscille - In: BNR economic review 19 (2022), pp. 101-122

Persistent link: https://www.econbiz.de/10014280458

Nowcasting in Tunisia using large datasets and mixed frequency models

Ben Romdhane, Hager - 2021

The object of this paper is to nowcast, forecast and track changes in Tunisian economic activity during normal and crisis times. The main target variable is quarterly real GDP (RGDP) and we have collected a large and varied set of monthly indicators as predictors. We use several mixed frequency...

Persistent link: https://www.econbiz.de/10012606380

Nowcasting in Tunisia using large datasets and mixed frequency models

Ben Romdhane, Hager - 2021

Persistent link: https://www.econbiz.de/10012590322

Forecasting U.S. real GDP using oil prices : a time-varying parameter MIDAS model

Pan, Zhiyuan; Wang, Qing; Wang, Yudong; Li, Yang - In: Energy economics 72 (2018), pp. 177-187

Persistent link: https://www.econbiz.de/10011972301

Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model

Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142

Persistent link: https://www.econbiz.de/10011817944