We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed … called for. The approach is appealing when we consider state space models which feature stochastic volatility, or other non … stochastic volatility feature is particularly relevant when considering high frequency financial series. In addition, we propose …

Volatility break robust panel unit root tests (PURTs) recently proposed by Herwartz and Siedenburg (Computational … reinvestigates whether there is a unit root in OECD inflation rates. We find evidence that inflation is stationary for long …

account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …