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Year of publication
Subject
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Forecasting model 56 Prognoseverfahren 56 Mixed data sampling 35 Theorie 34 Theory 33 Sampling 32 Stichprobenerhebung 32 Schätzung 29 Estimation 28 Volatility 24 Volatilität 23 Time series analysis 21 Zeitreihenanalyse 21 Regression analysis 20 Regressionsanalyse 20 ARCH model 18 ARCH-Modell 18 Estimation theory 18 Schätztheorie 18 Aktienmarkt 14 Economic forecast 14 Stock market 14 Wirtschaftsprognose 14 Mixed Data Sampling 13 National income 13 Nationaleinkommen 13 Nowcasting 13 Frühindikator 12 USA 12 VAR model 12 VAR-Modell 12 mixed data sampling 12 Börsenkurs 11 Capital income 11 Kapitaleinkommen 11 Leading indicator 11 United States 11 Forecasting 10 Gross domestic product 10 Mixed Data Sampling (MIDAS) 10
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Online availability
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Undetermined 69 Free 67 CC license 5
Type of publication
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Article 87 Book / Working Paper 56
Type of publication (narrower categories)
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Article in journal 76 Aufsatz in Zeitschrift 76 Working Paper 35 Graue Literatur 25 Non-commercial literature 25 Arbeitspapier 23 Article 2 Aufsatz im Buch 1 Book section 1 Konferenzschrift 1
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Language
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English 122 Undetermined 17 German 3 Spanish 1
Author
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Ghysels, Eric 11 Foroni, Claudia 9 Schumacher, Christian 8 Walther, Thomas 8 Klein, Tony 7 Ravazzolo, Francesco 6 Marcellino, Massimiliano 5 Miller, J. Isaac 5 Motegi, Kaiji 5 Hill, Jonathan B. 4 Jiang, Cuixia 4 Valadkhani, Abbas 4 Xu, Qifa 4 Aastveit, Knut Are 3 Audrino, Francesco 3 Bouri, Elie 3 Golosnoy, Vasyl 3 Gribisch, Bastian 3 Javed, Farrukh 3 Liesenfeld, Roman 3 Nguyen, Duc Khuong 3 Pan, Zhiyuan 3 Wang, Yudong 3 Wu, Xinyu 3 Yang, Lixiong 3 Alessi, Lucia 2 Andreani, Mila 2 Asgharian, Hossein 2 Asimakopoulos, Panagiotis 2 Asimakopoulos, Stylianos 2 Ben Rhomdhane, Hagher 2 Ben Romdhane, Hager 2 Benlallouna, Brahim Mehdi 2 Candila, Vincenzo 2 Casarin, Roberto 2 Charfeddine, Lanouar 2 Chen, Qiang 2 Chikamatsu, Kyosuke 2 Deschamps, Bruno 2 Dudda, Tom L. 2
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Institution
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Deutsche Bundesbank 3 Economics Department, University of Missouri 3 C.E.P.R. Discussion Papers 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Centre for Applied Macro- and Petroleum economics (CAMP), BI Handelshøyskolen 1 East Asian Bureau of Economic Research (EABER) 1 European Central Bank 1 Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues - GEWISOLA 1 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 Knut Wicksells centrum för finansvetenskap, Ekonomihögskolan 1 Norges Bank 1 School of Economics and Political Science, Universität St. Gallen 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
All
Energy economics 5 International review of economics & finance : IREF 5 International journal of forecasting 4 Journal of forecasting 4 Journal of econometrics 3 QMS Research Paper 3 The energy journal 3 Working Papers / Economics Department, University of Missouri 3 Applied economics 2 Applied economics letters 2 BOFIT discussion papers 2 CEPR Discussion Papers 2 DIW Wochenbericht 2 Discussion Paper Series 1 2 Discussion Paper Series 1: Economic Studies 2 Discussion paper / Centre for Economic Policy Research 2 Economic modelling 2 Empirical economics : a quarterly journal of the Institute for Advanced Studies 2 Finance research letters 2 Graduate Institute of International and Development Studies Working Paper 2 International review of financial analysis 2 Journal of empirical finance 2 Journal of financial and quantitative analysis : JFQA 2 Journal of risk 2 The North American journal of economics and finance : a journal of financial economics studies 2 Working paper / Graduate Institute of International and Development Studies 2 Working paper / Norges Bank 2 Working papers on finance 2 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 1 BNR economic review 1 BOK working paper 1 Bank of Japan working paper series 1 Bundesbank Discussion Paper 1 CAMA working paper series 1 CIRANO Working Papers 1 CORE discussion papers : DP 1 Computational Statistics & Data Analysis 1 Czech Economic Review 1 DEM working papers 1 Department of Economics working paper series 1
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Source
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ECONIS (ZBW) 103 RePEc 25 EconStor 14 Other ZBW resources 1
Showing 131 - 140 of 143
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Testing for Granger Causality with Mixed Frequency Data
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - C.E.P.R. Discussion Papers - 2013
It is well known that temporal aggregation has adverse effects on Granger causality tests. Time series are often sampled at different frequencies. This is typically ignored, and data are merely aggregated to the common lowest frequency. We develop a set of Granger causality tests that explicitly...
Persistent link: https://www.econbiz.de/10011083986
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Evaluating the impact of data quantity, distribution and algorithm selection on the accuracy of 3D subsurface models using synthetic grid models of varying complexity
MacCormack, Kelsey; Brodeur, Jason; Eyles, Carolyn - In: Journal of Geographical Systems 15 (2013) 1, pp. 71-88
Testing the accuracy of 3D modelling algorithms used for geological applications is extremely difficult as model results cannot be easily validated. This paper presents a new approach to evaluate the effectiveness of common interpolation algorithms used in 3D subsurface modelling, utilizing four...
Persistent link: https://www.econbiz.de/10010867941
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Mixed-frequency vector autoregressive models
Foroni, Claudia; Ghysels, Eric; Marcellino, Massimiliano - In: VAR models in macroeconomics - new developments and …, (pp. 247-271). 2013
Persistent link: https://www.econbiz.de/10010252328
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Testing for granger causality with mixed frequency data
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - 2013
Persistent link: https://www.econbiz.de/10010193401
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The importance of the macroeconomic variables in forecasting stock return variance : a GARCH-MIDAS approach
Asgharian, Hossein; Hou, Ai Jun; Javed, Farrukh - In: Journal of forecasting 32 (2013) 7, pp. 600-612
Persistent link: https://www.econbiz.de/10010202170
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U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2012
Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by …
Persistent link: https://www.econbiz.de/10011084496
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MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets
Emre Alper, C.; Fendoglu, Salih; Saltoglu, Burak - In: Economics Letters 117 (2012) 2, pp. 528-532
This paper evaluates weekly out-of-sample volatility forecast performance of univariate Mixed Data Sampling (MIDAS …
Persistent link: https://www.econbiz.de/10010580509
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The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of Econometrics 167 (2012) 1, pp. 211-223
Maximum Likelihood. We also propose extensions of the CAW model obtained by including a Mixed Data Sampling (MIDAS) component …
Persistent link: https://www.econbiz.de/10010574098
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Real-Time Forecast Density Combinations (Forecasting US GDP Growth Using Mixed-Frequency Data)
Götz, Thomas B.; Hecq, Alain W. J.; Urbain, Jean-Pierre - 2012
Persistent link: https://www.econbiz.de/10009524285
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There is a Risk-Return Tradeoff After All
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Mixed Data Sampling (or MIDAS) approach. Using MIDAS, we find that there is a significantly positive relation between risk …
Persistent link: https://www.econbiz.de/10005100616
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