This paper discusses how to model and forecast a vector of time series sampled at different frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series and their observability, in a multivariate linear framework. We find that the basic...

Using a standard input-output table with known marginal totals and independent (and unbalanced) estimates in individual cells as a basis, this paper investigates methods by which the cell estimates can be calibrated to the marginal totals. The paper also investigates the use of confidence...

Both temporal disaggregation techniques and bridge models are tools to analyse the GDP dynamics in the very short run (the current quarter), though their methodological approaches differ on how to exploit the available monthly information. The aim of this paper is to propose a way to merge the...

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and conditions for the existence of moments and...