introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time …. For eleven U.S. variables, we examine the performance of our model and compare the results to the time-constant MF-VAR of …

models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature … by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MFTVP …- SV-VAR delivers accurate now- and forecasts and, on average, outperforms its competitors. We assess the models’ accuracy …

been satisfactorily answered. We focus on out-of-sample nowcasting, and extend the Bayesian Structural Time Series model …