Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2014
We propose a new approach to predictive density modeling that allows for MIDAS effects in both the first and second moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic volatility dynamics. When applied to quarterly U.S. GDP growth data,...