Maas, Benedikt - In: Journal of Forecasting 39 (2019) 3, pp. 394-411
rate forecasts are generated using MIDAS regression models that take into account the actual frequencies of the predictor … variables. The forecasts are made in real time, and the forecasts of the best forecasting models exceed, for the most part, the … root mean squared forecast error of two benchmarks. However, as the forecasting horizon increases, the forecasting …