This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci.cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coeØ cients, whereas...

A discussion on a country's development and economic growth is often related to its interconnectedness with other countries. Whereas there are several measures of countries' interconnectedness presented in the literature, few of them are asymmetric or time-varying. We propose a new, so called...