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Journal of Econometrics, ISSN 0304-4076, 08/2016, Volume 193, Issue 2, pp. 315 - 334
Journal Article
Journal of econometrics, ISSN 0304-4076, 2016, Volume 192, Issue 2, pp. 349 - 365
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of strong unobserved common factors can... 
Global VAR | Augmented GVAR | Data-rich methods | High-dimensional VAR | Forecasting | Nowcasting | GDP and PMIs | MIDAS | MONETARY-POLICY | GDP | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Federal Reserve banks | Analysis
Journal Article
International Journal of Forecasting, ISSN 0169-2070, 10/2015, Volume 31, Issue 4, pp. 1009 - 1020
This paper proposes a real-time forecasting procedure involving a combination of MIDAS-type regression models constructed with predictors of different sampling... 
MIDAS regressions | Mixed-frequency data | Forecasting | MANAGEMENT | MODELS | MIDAS | OUTPUT GROWTH | ECONOMICS | Government finance | Budget | Forecasts and trends | Analysis | Public finance
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 04/2018, Volume 47, Issue 8, pp. 1913 - 1922
In econometrics and finance, variables are collected at different frequencies. One straightforward regression model is to aggregate the higher frequency... 
Mixed frequency | MIDAS models | Specification tests | Self-normalization | CONSISTENT COVARIANCE-MATRIX | STATISTICS & PROBABILITY | HYPOTHESES | HETEROSKEDASTICITY | Economic models | Normalizing | Regression models | Model testing | Specifications | Agglomeration | Regression analysis | Econometrics | Data sampling | Weighting functions
Journal Article
SAR and QSAR in environmental research, ISSN 1029-046X, 2017, Volume 28, Issue 1, pp. 41 - 58
Journal Article
Tourism management (1982), ISSN 0261-5177, 2015, Volume 46, pp. 454 - 464
...) models relative to the Seasonal Autoregressive Integrated Moving Average (SARIMA) and autoregressive (AR) approach... 
MIDAS | Google data | Tourism demand | Tourist arrivals | Mixed-data frequency modeling | Caribbean | Forecasting | DEMAND | MANAGEMENT | HOSPITALITY, LEISURE, SPORT & TOURISM | ENVIRONMENTAL STUDIES | VOLATILITY | Forecasts and trends | Travel industry | Analysis | Traffic
Journal Article
Applied Energy, ISSN 0306-2619, 04/2018, Volume 216, pp. 132 - 141
•A real-time forecast procedure is established to predict the weekly carbon price.•Combination-MIDAS models provide better performance than traditional... 
Carbon price | MIDAS regression | Forecast combination | MARKET | FUNDAMENTALS | ENERGY & FUELS | CHINA | PREDICTION MODEL | EMISSION ALLOWANCES | ENGINEERING, CHEMICAL | REGRESSION APPROACH | MIDAS APPROACH | EMPIRICAL MODE DECOMPOSITION | DYNAMICS | VOLATILITY
Journal Article
Applied economics letters, ISSN 1466-4291, 2013, Volume 20, Issue 3, pp. 233 - 237
.... In this respect, we implement a Mixed Data Sampling (MIDAS)-based modelling approach, put forward by Ghysels et al. ( 2007... 
MIDAS approach | financial variables | Great Recession | forecasting | Great recession | Forecasting | Midas approach | Financial variables | UNITED-STATES | FORECASTING OUTPUT | YIELD CURVE | POWER | ECONOMICS | Economics and Finance | Humanities and Social Sciences
Journal Article
The journal of futures markets, ISSN 0270-7314, 2018, Volume 38, Issue 3, pp. 413 - 422
This paper applies the GARCH‐MIDAS model to examine whether information contained in global economic policy uncertainty (GEPU) can help to predict short‐ and... 
gold futures market | GARCH‐MIDAS | global economic policy uncertainty | volatility forecasting | GARCH-MIDAS | BUSINESS, FINANCE | OIL | PRICES | STOCK-MARKET | PERSISTENCE | RETURNS | VARIABLES | VARIANCE | Economic policy | Forecasts and trends | Analysis | Futures market | Volatility (Finance) | Uncertainty | Volatility | Forecasting | Gold markets | Power
Journal Article
Knowledge-Based Systems, ISSN 0950-7051, 04/2017, Volume 122, pp. 90 - 102
.... This paper proposes a multiple output support vector machine unrestricted mixed data sampling (MSVM-UMIDAS) approach... 
MSVM | Nonlinear | Mixed frequency independent variables | MIDAS | Stock price forecasting | MULTITARGET REGRESSION | ALGORITHM | RISK | MODEL | COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE | RETURN | IMPACT | GDP | OUTPUT GROWTH | SELECTION | VOLATILITY | Forecasts and trends | Stock price indexes | Stocks | Analysis
Journal Article
Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear Science, and Nonequilibrium and Complex Phenomena, ISSN 0960-0779, 08/2015, Volume 77, pp. 286 - 290
We aim to find out whether the exchange rate (against US dollar) or the interest rate (in local currency) is a better variable in predicting the capacity... 
Capacity utilization rate | Interest rate | Forecasting | Exchange rate | Mixed data sampling (MIDAS) | FREQUENCIES | GDP | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | PHYSICS, MULTIDISCIPLINARY | PHYSICS, MATHEMATICAL | Money | Interest rates
Journal Article
Empirical economics, ISSN 1435-8921, 2019, Volume 58, Issue 1, pp. 29 - 54
.... We provide a new quarterly time series for East German GDP and develop a forecasting approach for East German GDP that takes data availability in real time and regional economic indicators into account... 
TESTS | FORECASTS | SOCIAL SCIENCES, MATHEMATICAL METHODS | MIDAS model | OUTPUT GROWTH | ECONOMICS | East Germany | Business surveys | REGRESSIONS | Nowcasting | Economic models | Gross Domestic Product--GDP | Economic indicators | Time series | Expenditures | Projections | Economic policy | Macroeconomics | Economic forecasts | Sampling | Economic development | Forecasting
Journal Article