This paper presents a generalized autoregressive distributed lag (GADL) model for conducting regression estimations that involve mixed-frequency data. As an example, we show that daily asset market information - currency and equity market movements - can produce forecasts of quarterly commodity...

This paper proposes a multivariate least squares Mallows averaging approach to the issue of forecast combination by vector autoregressive (VAR) model fitting. Our approach extends the current literature on frequentist least squares model/forecast averaging methods, in particular Hansen (2008),...

This paper proposes an easy-to-implement approach to forecasting the multivariate long memory process on same realization and further examines its usefulness on forecasting multivariate volatility series. This procedure bases on the extension of the analysis of Lewis and Reinsel (1985) to the...

This paper proposes frequentist multiple-equation least squares averaging approaches for multi-step forecasting with vector autoregressive (VAR) models. The proposed VAR forecasting averaging methods are based on the multivariate Mallows model averaging (MMMA) and multivariate leave-h-out...