dynamics of employment and unemployment in order to identify key issues for the sources of the malfunctioning of these labour … passive labour market policies, and the structure of employment and output. …

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 …

-data sampling (MIDAS) regressions with few predictors. The specification of these models requires several choices related to …

', 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 estimate a time series model of weather shocks on English wheat yields for the early nineteenth century and use it … to predict weather effects on yield levels from 1697 to 1871. This reveals that yields in the 1690s were depressed by … unusually poor weather; and those in the late 1850s were inflated by unusually good weather. This has led researchers to …