TF-MIDAS: a transfer function based mixed-frequency model-Reference-Cited by-同舟云学术

TF-MIDAS: a transfer function based mixed-frequency model

Published:2021-02-07 Issue:10 Volume:91 Page:1980-2017
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Bonino-Gayoso Nicolás¹²,Garcia-Hiernaux Alfredo³^ORCID

Affiliation:

1. Universidad Complutense de Madrid, Madrid, Spain

2. Decon, Universidad de la República, Montevideo, Uruguay

3. DANAE and ICAE Universidad Complutense de Madrid, Madrid, Spain

Funder

UCM-Santander

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2021.1879082

Reference20 articles.

1. Castle J, Hendry D, Kitov O. Forecasting and nowcasting macroeconomic variables: a methodological overview. Economics series working paper 674, University of Oxford, Department of Economics; 2013.

2. Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials

3. Ghysels E, Santa-Clara P, Valkanov R. The MIDAS touch: mixed data sampling regression models. Working paper, UNC and UCLA; 2002.

4. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies

5. Predicting volatility: getting the most out of return data sampled at different frequencies

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