Purpose The purpose of this paper is to predict the daily accuracy improvement for the Jakarta Islamic Index (JKII) prices using deep learning (DL) with small and big data of symmetric volatility information. Design/methodology/approach This paper uses the nonlinear autoregressive exogenous...

We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed frequency data. While in some cases the binding function is known, in general it is not, and therefore indirect inference is called for. The approach is appealing when we consider...

This paper examines if overreaction of oil price forecasters is related to uncertainty. Furthermore, it takes into account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression model from González et al. (2005) is applied with...