We introduce easy to implement regression-based methods for predicting quarterly real economic activity that use daily financial data. Our analysis is designed to elucidate the value of daily information and provide real-time forecast updates of the current (nowcasting) and future quarters. Our...

Despite the difference in information sets, we are able to compare the asymptotic distribution of volatility estimators involving data sampled at different frequencies. To do so, we propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed...

In this paper, we investigate semiparametric threshold regression models with endogenous threshold variables based on a nonparametric control function approach. Using a series approximation we propose a two-step estimation method for the threshold parameter. For the regression coefficients, we...