higher frequency auxiliary data only for forecasting (see Giannone, Monti and Reichlin (2016)). The second method transforms … our method substantially decreases forecasting errors for recessions, but casting the model in a monthly frequency …

introduced in the reference [GO14a] concerning three different approaches to the forecasting of linear temporal aggregates using … frequency and the subsequent prediction with data and models aggregated according to the forecasting horizon of interest. The … formulas considered allow to approximately quantify the mean square forecasting errors associated to these three prediction …

The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of … asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation … of a high-frequency series. Based on the theory of temporal aggregation, we provide the link between the spectral density …