For modelling mixed-frequency data with business cycle pattern we introduce the Markovswitching Mixed Data Sampling model with unrestricted lag polynomial (MS-U-MIDAS). Usually models of the MIDAS-class use lag polynomials of a specific function, which impose some structure on the weights of...

For modelling mixed-frequency data with a business cycle pattern, we introduce the Markov-switching Mixed Data Sampling model with unrestricted lag polynomial (MS-U-MIDAS). Usually, models of the MIDAS-class use lag polynomials of a specific function which impose some structure on the weights of...

We investigate non-linearities in the stock return - trading volume relationship by using daily data for 16 European countries in an asymmetric vector autoregressive model. In this framework, we test for asymmetries and analyze the dynamic relationship using a simulation based procedure for...

This paper investigates the response of stock market volatility to a monetary policy shock using a structural factor-augmented Bayesian vector autoregressive (FAVAR) model. We construct a monthly dataset of realized volatilities of the constituents of the S&P500 index and extract volatility...