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Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - 2014

In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions with and without an autoregressive component. First, we compare the...

Persistent link: https://www.econbiz.de/10012143848

Density forecasts with MIDAS models

Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - Norges Bank - 2014

Persistent link: https://www.econbiz.de/10010835403

Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment

Drechsel, Katja; Scheufele, Rolf - 2013

computationally simple and can be easily implemented as a nowcasting tool. Finally, this method also allows retracing the driving …

Persistent link: https://www.econbiz.de/10010314774

Dynamic relationship between stock and bond returns: a GAS MIDAS copula approach

Nguyen, Hoang; Javed, Farrukh - 2021

Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula...

Persistent link: https://www.econbiz.de/10012668024

Nowcasting GDP in Greece: A Note on Forecasting Improvements from the Use of Bridge Models

Lamprou, Dimitra - In: South-Eastern Europe Journal of Economics 13 (2015) 1, pp. 85-100

In the recent literature on nowcasting, the use of the so-called bridge models is advocated. These are simple …

Persistent link: https://www.econbiz.de/10011212738

Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment

Drechsel, Katja; Scheufele, R. - Institut für Wirtschaftsforschung Halle (IWH) - 2013

computationally simple and can be easily implemented as a nowcasting tool. Finally, this method also allows retracing the driving …

Persistent link: https://www.econbiz.de/10010857342

Nowcasting the French index of industrial production: A comparison from bridge and factor models

Brunhes-Lesage, Véronique; Darné, Olivier - In: Economic Modelling 29 (2012) 6, pp. 2174-2182

Governments and central banks need to have an accurate and timely assessment of indicators for the current month, as this is essential for providing a reliable and early analysis of the current economic situation. The index of industrial production (IIP) is probably the most important and widely...

Persistent link: https://www.econbiz.de/10010588231

Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment

Drechsel, Katja; Scheufele, Rolf - Schweizerische Nationalbank (SNB) - 2012

computationally simple and can be easily implemented as a nowcasting tool. Finally, this method also allows to retrace the driving …

Persistent link: https://www.econbiz.de/10010600888

Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators

Kurz-Kim, Jeong-Ryeol - 2016

forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor …

Persistent link: https://www.econbiz.de/10011567405

Nowcasting des deutschen BIP

Doll, Jens; Rosenthal, Beatrice; Volkenand, Jonas; … - 2017

sogenannten "Nowcasting"-Modellen, deren Prognosegüte mit jedem neu verfügbaren, das deutsche Bruttoinlandsprodukt beeinflussenden …-up-Modellierung Nowcasting-Prognosen für das deutsche Bruttoinlandsprodukt ermöglicht. Hierbei bringt es mit der verwendeten Kombination von … Modellen einen neuen Ansatz in die aktuelle Literatur des Nowcasting für das deutsche Bruttoinlandsprodukt ein. Durch die …

Persistent link: https://www.econbiz.de/10011643852