-frequency data and, at the same time produces a direct forecast of the variance at the desired horizon, without iterating. The MIDAS …

-proposed weighting schemes delivers large improvements in forecast accuracy at all horizons. Additional gains obtain with mixed …-data sampling methods that exploit the daily frequency of financial variables, reducing the mean square forecast error by as much as … 13% compared to a simple autoregressive benchmark. The forecast improvements are largest during economic turmoils …

EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

models.Design/methodology/approach – We apply six estimation methods (linear least squares, robust regression, mixed effects …

We introduce a novel quantitative methodology to detect real estate bubbles and forecast their critical end time, which … possible turning points of the markets in BeiJing, ShangHai, ShenZhen, GuangZhou, TianJin and ChengDu and forecast the future …