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Should macroeconomic forecasters use daily financial data and how?

Andreou, Elena; Ghysels, Eric; Kourtellos, Andros - University of Cyprus Department of Economics - 2010

financial data and rely on forecast combinations of MIDAS regressions. Our analysis is designed to elucidate the value of daily …

Persistent link: https://www.econbiz.de/10008752922

Short-term forecasting with mixed-frequency data: A MIDASSO approach

Siliverstovs, Boriss - 2015

-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised …

Persistent link: https://www.econbiz.de/10011307779

Dissecting the Purchasing Managers' Index: Are all relevant components included? Are all included components relevant?

Siliverstovs, Boriss - 2015

We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...

Persistent link: https://www.econbiz.de/10011307780

MIDAS modeling for core inflation forecasting

Libonatti, Luis - 2018

This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on online prices. Prices are compiled using web scrapping services provided by the private company PriceStats in cooperation with a finance research corporation, State Street Global...

Persistent link: https://www.econbiz.de/10012141919

Backcasting, nowcasting, and forecasting residential repeat-sales returns : big data meets mixed frequency

Garzoli, Matteo; Plazzi, Alberto; Valkanov, Rossen I. - 2021 - This version: March 4, 2021

The Case-Shiller is the reference repeat-sales index for the U.S. residential real estate market, yet it is released with a two-month delay. We find that incorporating recent information from 71 financial and macro predictors improves backcasts, now-casts, and short-term forecasts of the index...

Persistent link: https://www.econbiz.de/10012487889

MIDAS modeling for core inflation forecasting

Libonatti, Luis - 2017

. Various classes of MIDAS models are found to produce a slight boost in terms of out-of-sample predictive performance at …

Persistent link: https://www.econbiz.de/10012057263

Predicting quarterly aggregates with monthly indicators

Winkelried, Diego - Banco Central de Reserva del Perú - 2012

the so-called Mixed Data Sampling (MIDAS) approach that directly exploits the information content of monthly indicators to … smoothness priors in a distributed lag model, that weakens the restrictions the traditional MIDAS approach imposes on the data to …-nested specifications. It is found that the MIDAS approach is able to timely identify, from monthly information, important signals of the …

Persistent link: https://www.econbiz.de/10010819837

MIDAS modeling for core inflation forecasting

Libonatti, Luis - 2018

Persistent link: https://www.econbiz.de/10011883796

MIDAS modeling for core inflation forecasting

Libonatti, Luis - 2017 - This draft: December2017

. Various classes of MIDAS models are found to produce a slight boost in terms of out-of-sample predictive performance at …

Persistent link: https://www.econbiz.de/10011771633

Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

Röthig, Andreas; Chiarella, Carl - 2006

This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...

Persistent link: https://www.econbiz.de/10010266873

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