Search Results - subject:"mixed data sampling"

Hybrid ARDL-MIDAS-Transformer time-series regressions for multi-topic crypto market sentiment driven by price and technology factors

Chalkiadakis, Ioannis; Peters, Gareth; Ames, Matthew - In: Digital finance : smart data analytics, investment … 5 (2023) 2, pp. 295-365

Persistent link: https://www.econbiz.de/10014369259

Regime-dependent nowcasting of the Austrian economy

Fortin, Ines; Hlouskova, Jaroslava - 2023

autoregressive model according to Ghysels (2016) and mixed data sampling approaches, and compare their forecast and nowcast …

Persistent link: https://www.econbiz.de/10014436331

Threshold mixed data sampling logit model with an application to forecasting US bank failures

Yang, Lixiong; Ren, Mingjian; Bai, Jianming - In: Empirical economics : a quarterly journal of the … 68 (2025) 1, pp. 433-477

Persistent link: https://www.econbiz.de/10015193798

Exploring multisource high-dimensional mixed-frequency risks in the stock market : a group penalized reverse unrestricted mixed data sampling approach

Zhuo, Xingxuan; Luo, Shunfei; Cao, Yan - In: Journal of forecasting 44 (2025) 2, pp. 459-473

Persistent link: https://www.econbiz.de/10015374052

Comparative computer simulation and empirical analysis of MIDAS and artificial neural network-UMIDAS models for short- and long-term US GDP forecasting

Safi, Samir K. H.; Sanusi, Olajide Idris; Arif, Afreen - In: Competitiveness review : CR 35 (2025) 4, pp. 670-684

Persistent link: https://www.econbiz.de/10015618799

High-dimensional mixed data sampling models with a covariate-dependent threshold

Yang, Lixiong; Ren, Luyao; Ye, Yihang - In: Econometric reviews 44 (2025) 8, pp. 1079-1119

Persistent link: https://www.econbiz.de/10015554883

Diaspora investments in low & high interest rate environments

Adediran, Idris A.; Okunade, Solomon Oluwaseun; Aor, … - In: Research in globalization 5 (2022), pp. 1-10

rate environment causes diaspora investment inflows. Third, we employ the Autoregressive Distributed Lag-Mixed Data … Sampling (ADL-MIDAS) technique to evaluate the role of macroeconomic performance for attracting diaspora investments. We find …

Persistent link: https://www.econbiz.de/10014330969

Common Drivers of Commodity Futures?

Dudda, Tom L.; Klein, Tony; Nguyen, Duc Khuong; … - 2022

We study potential drivers for a large cross-section of commodity futures. Unlike previous studies, we examine the effect of monthly drivers on daily returns using mixed- frequency Granger causality tests. We find real economic activity as a main driver on a monthly basis, whereas financial...

Persistent link: https://www.econbiz.de/10015435327

Diaspora investments in low & high interest rate environments

Adediran, Idris A.; Okunade, Solomon Oluwaseun; Aor, … - In: Research in Globalization 5 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10015520053

Common Drivers of Commodity Futures?

Dudda, Tom L.; Klein, Tony; Nguyen, Duc Khuong; … - 2022

We study potential drivers for a large cross-section of commodity futures. Unlike previous studies, we examine the effect of monthly drivers on daily returns using mixed-frequency Granger causality tests. We find real economic activity as a main driver on a monthly basis, whereas financial...

Persistent link: https://www.econbiz.de/10014284489

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