This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification … in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on … curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence …

This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with …-data sampling (MIDAS) regressions with few predictors. The specification of these models requires several choices related to … forecasting quarterly German GDP, a key macroeconomic indicator for the largest country in the euro area, with a large set of …

', using different versions of what we call factor-based mixed-data sampling (Factor-MIDAS) approaches. We compare all possible … combinations of factor estimation methods and Factor-MIDAS projections with respect to nowcast performance. Additionally, we …. Concerning the projections, the most parsimonious MIDAS projection performs best overall. Finally, quarterly models are in …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance …

switching mixed data sampling (MIDAS) models. The results suggest that MSMF-VAR models are particularly useful to estimate the …

We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need … in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil … price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. …