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MIDAS modeling for core inflation forecasting
Libonatti, Luis - 2017
. Various classes of MIDAS models are found to produce a slight boost in terms of out-of-sample predictive performance at …
Persistent link: https://www.econbiz.de/10012057263
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MIDAS modeling for core inflation forecasting
Libonatti, Luis - 2017 - This draft: December2017
. Various classes of MIDAS models are found to produce a slight boost in terms of out-of-sample predictive performance at …
Persistent link: https://www.econbiz.de/10011771633
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A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Kumar, Manish - In: International Journal of Economic Sciences and Applied … 3 (2010) 2, pp. 21-39
In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...
Persistent link: https://www.econbiz.de/10010289449
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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The case for higher frequency inflation expectations
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10009650037
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Modelling and forecasting the volatility of the portuguese stock index PSI-20
Caiado, Jorge - Volkswirtschaftliche Fakultät, … - 2004
The volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH,...
Persistent link: https://www.econbiz.de/10005790340
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Shaping the manufacturing industry performance in Turkey: MIDAS approach
Turhan, Ibrahim; Sensoy, Ahmet; Hacihasanoglu, Erk - Research Department, Borsa İstanbul - 2015
crisis. In that manner, we implement dynamic mixed data sampling (MIDAS) regression model to forecast monthly changes in CUR …
Persistent link: https://www.econbiz.de/10011213781
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A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables
FORONI, Claudia; MARCELLINO, Massimiliano - Department of Economics, European University Institute - 2012
: bridge equations, mixed-data sampling (MIDAS), and mixed-frequency (MF) models. We discuss their performance on now- and … models, in a pseudo real-time framework. Anticipating some of the results, MIDAS without an AR component performs worse than … the corresponding approach which incorporates it, and MF-VAR seems to outperform the MIDAS approach only at longer …
Persistent link: https://www.econbiz.de/10010540194
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A survey of econometric methods for mixed-frequency data
Foroni, Claudia; Marcellino, Massimiliano - Norges Bank - 2013
, MIxed DAta Sampling (MIDAS) models, mixed frequency VARs, and mixed frequency factor models. We also consider alternative …
Persistent link: https://www.econbiz.de/10010835415
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A survey of econometric methods for mixed-frequency data
Foroni, Claudia; Marcellino, Massimiliano - Department of Economics, European University Institute - 2013
, MIxed DAta Sampling (MIDAS) models, mixed frequency VARs, and mixed frequency factor models. We also consider alternative …
Persistent link: https://www.econbiz.de/10010610582