Time-Varying Parameter MIDAS Models: Application to Nowcasting US Real GDP
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Publisher
Elsevier BV
Reference39 articles.
1. Vulnerable growth;T Adrian;American Economic Review,2019
2. On the real-time predictive content of financial condition indices for growth;A J Amburgey;Journal of Applied Econometrics,2023
3. On the use of high frequency measures of volatility in MIDAS regressions;E Andreou;Journal of econometrics,2016
4. Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters;A Barnett;International Journal of Forecasting,2014
5. A mixed frequency stochastic volatility model for intraday stock market returns;J Bekierman;Journal of Financial Econometrics,2021
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