Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - 2014
mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions with and without an … autoregressive component. First, we compare the forecasting performance of the different MIDAS models in Monte Carlo simulation …. Some differences are instead more evident when the persistence is high, for which the ARMIDAS and the AR-U-MIDAS produce …