We propose a Bayesian optimal filtering setup for improving out-of-sample forecasting performance when using volatile … high frequency data with long lag structure for forecasting low-frequency data. We test this setup by using real-time Swiss … indicator series for forecasting. …

This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves …

This paper tests the usefulness of time-varying parameters when forecasting with mixed-frequency data. For this we …. An out-of-sample forecasting exercise with US real-time data shows that the use of time-varying parameters does not … forecasting with bridge equations due to the ability of time-varying parameters to incorporate gradual structural changes faster. …