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The econometric analysis of mixed frequency data sampling
Ghysels, Eric; Marcellino, Massimiliano - In: Journal of econometrics 193 (2016) 2, pp. 291-293
Persistent link: https://www.econbiz.de/10011704880
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The econometric analysis of mixed frequency data sampling
Ghylsels, Eric (ed.); Marcellino, Massimiliano (ed.) - 2016
Persistent link: https://www.econbiz.de/10011704980
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EuroMInd-C : a disaggregate monthly indicator of economic activity for the Euro area and member countries
Grassi, Stefano; Proietti, Tommaso; Frale, Cecilia; … - In: International journal of forecasting 31 (2015) 3, pp. 712-738
Persistent link: https://www.econbiz.de/10011474534
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EuroMInd-C : a disaggregate monthly indicator of economic activity for the Euro area and member countries
Grassi, Stefano; Proietti, Tommaso; Frale, Cecilia; … - 2014
The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance is obtained by referring our monthly indicators to gross domestic...
Persistent link: https://www.econbiz.de/10010402282
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Markov-switching three-pass regression filter
Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - 2017
We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass...
Persistent link: https://www.econbiz.de/10011637435
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U-MIDAS : MIDAS regressions with unrestricted lag polynomials
Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - 2012
Persistent link: https://www.econbiz.de/10009512876
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U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - 2011
Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by … high-frequency variables and their lags. When the difference in sampling frequencies between the regressand and the … macroeconomic applications, however, differences in sampling frequencies are often small. In such a case, it might not be necessary …
Persistent link: https://www.econbiz.de/10009490826
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Model selection for nested and overlapping nonlinear, dynamic and possibly mis-specified models
Marcellino, Massimiliano; Rossi, Barbara - In: Oxford bulletin of economics and statistics 70 (2008), pp. 867-893
Persistent link: https://www.econbiz.de/10003787679
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Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...
Persistent link: https://www.econbiz.de/10010225468
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Temporal disaggregation, missing observations, outliers, and forecasting : a unifying non-model based procedure
Marcellino, Massimiliano - 1997
Persistent link: https://www.econbiz.de/10000984064