In recent years, factor models have received increasing attention from both econometricians and practitioners in the forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according to the forecast variable prior to factor...

This paper merges two specifications developed recently in the forecasting literature: the MS-MIDAS model introduced by Gu´erin and Marcellino [2011] and the MIDAS-factor model considered in Marcellino and Schumacher [2010]. The MS-factor MIDAS model (MS-FaMIDAS) that we introduce incorporates...

This paper explores the existence of a bounce-back effect in inventory investment using the European Commission opinion survey on stocks of finished products in manufacturing and retail trade sectors. The data are quarterly balance for France, Germany and a European aggregate, from 1985q1 to...

This paper explores the impact of green sentiment in US media on financial markets. Using textual analysis with a dictionary-based approach, we retrieve several scores of attention, tonality and uncertainty in the coverage of environmental news of four major US newspapers. We consider various...

This paper introduces a Markov-switching model in which transition probabilities depend on higher frequency indicators and their lags through polynomial weighting schemes. The MSV-MIDAS model is estimated via maximum likelihood (ML) methods. The estimation relies on a slightly modified version...