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Real-time forecasting with a mixed-frequency VAR

Schorfheide, Frank; Song, Dongho - 2012

Persistent link: https://www.econbiz.de/10009614049

Bond market exposures to macroeconomic and monetary policy risks

Song, Dongho - 2014

Persistent link: https://www.econbiz.de/10010390343

Real-time forecasting with a (standard) mixed-frequency VAR during a pandemic

Schorfheide, Frank; Song, Dongho - 2020 - This version: July 8, 2020

Persistent link: https://www.econbiz.de/10013206029

The term structure of equity risk premia

Bansal, Ravi; Miller, Shane; Song, Dongho; Yaron, Amir - In: Journal of financial economics 142 (2021) 3, pp. 1209-1228

Persistent link: https://www.econbiz.de/10012875936

Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic

Schorfheide, Frank; Song, Dongho - National Bureau of Economic Research - 2021

We resuscitated the mixed-frequency vector autoregression (MF-VAR) developed in Schorfheide and Song (2015, JBES) to generate macroeconomic forecasts for the U.S. during the COVID-19 pandemic in real time. The model combines eleven time series observed at two frequencies: quarterly and monthly....

Persistent link: https://www.econbiz.de/10012794563