Search Results

MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area,
Vladimir Kuzin, Massimiliano Marcellino and Christian Schumacher, in International Journal of Forecasting (2011)
Keywords: Nowcasting; Mixed-frequency data; Mixed-frequency VAR; MIDAS;

MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area,
Vladimir Kuzin, Massimiliano Marcellino and Christian Schumacher, from European University Institute (2009)
Keywords: nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS

UK regional nowcasting using a mixed frequency vector autoregressive model,
Gary Koop, Stuart McIntyre and James Mitchell, from University of Strathclyde Business School, Department of Economics (2018)
Keywords: Regional growth, nowcasting, mixed frequency

UK Regional Nowcasting using a Mixed Frequency Vector Autoregressive Model,
Gary Koop, Stuart McIntyre and James Mitchell, from Economic Statistics Centre of Excellence (ESCoE) (2018)
Keywords: Regional Growth, Nowcasting, Mixed frequency

Forecasting with mixed-frequency time series models,
Klaus Wohlrabe, from University of Munich, Department of Economics (2009)
Keywords: mixed-frequency; forecasting; MIDAS; state-space

A mixed frequency BVAR for the euro area labour market,
Agostino Consolo, Claudia Foroni and Catalina Martínez Hernández, from European Central Bank (2021)
Keywords: Bayesian VAR, labour market, mixed frequency data

Testing for deterministic seasonality in mixed-frequency VARs,
Tomás del Barrio Castro and Alain Hecq, in Economics Letters (2016)
Keywords: Deterministic seasonal features; Mixed frequency VARs;

Testing for Deterministic Seasonality in Mixed-Frequency VARs,
Tomás del Barrio Castro and Alain Hecq, from Universitat de les Illes Balears, Departament d'Economía Aplicada (2016)
Keywords: deterministic seasonal features, mixed frequency VARs

Are the leading indicators really leading? Evidence from mixed-frequency spillover approach,
Yu Wei, Zhuo Wang, Xiaorui Zhou, Yue Shang and Lin Ren, in Finance Research Letters (2024)
Keywords: Leading indicators; Financial markets; Mixed-frequency spillover; Common-frequency spillover;

A new approach for estimating VAR systems in the mixed-frequency case,
Lukas Koelbl and Manfred Deistler, in Statistical Papers (2020)
Keywords: High-frequency VAR, Mixed-frequency data, Estimation procedure

Identifying high-frequency shocks with Bayesian mixed-frequency VARs,
Alessia Paccagnini and Fabio Parla, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2021)
Keywords: Bayesian mixed-frequency VAR, MIDAS, uncertainty shocks, macro-financial linkages

A mixed logit based valuation of frequency in civil aviation from SP-data,
Mark Lijesen, in Transportation Research Part E: Logistics and Transportation Review (2006)
Keywords: Route frequency Mixed logit Civil aviation

Revisiting the transitional dynamics of business-cycle phases with mixed-frequency data,
Marie Bessec, from HAL (2019)
Keywords: Business cycles,Markov-switching,mixed-frequency data

Revisiting the transitional dynamics of business-cycle phases with mixed frequency data,
Marie Bessec, from HAL (2015)
Keywords: Markov-Switching,mixed frequency data,business cycles

Revisiting the transitional dynamics of business-cycle phases with mixed frequency data,
Marie Bessec, from HAL (2016)
Keywords: Markov-switching,mixed frequency data,business cycles

Non-identifiability of VMA and VARMA systems in the mixed frequency case,
Manfred Deistler, Lukas Koelbl and Brian D.O. Anderson, in Econometrics and Statistics (2017)
Keywords: VARMA; VMA; Mixed frequency; Non-identifiability;

Forecasting Tourist Arrivals: Google Trends Meets Mixed Frequency Data,
Tomas Havranek and Ayaz Zeynalov, from University Library of Munich, Germany (2018)
Keywords: Google trends, mixed-frequency data, forecasting, tourism

Mixed-frequency models for tracking short-term economic developments in Switzerland,
Alain Galli, Christian Hepenstrick and Rolf Scheufele, from Swiss National Bank (2017)
Keywords: Mixed frequency, GDP, nowcasting, forecasting, Switzerland

Forecasting Tourist Arrivals with Google Trends and Mixed Frequency Data,
Tomas Havranek and Ayaz Zeynalov, from ZBW - Leibniz Information Centre for Economics (2018)
Keywords: Google trends, mixed-frequency data, forecasting, tourism

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility,
Massimiliano Marcellino, Andrea Carriero and Todd Clark, from C.E.P.R. Discussion Papers (2013)
Keywords: Bayesian methods; Forecasting; Mixed frequency models; Prediction

Forecasting tourist arrivals: Google Trends meets mixed-frequency data,
Tomas Havranek and Ayaz Zeynalov, in Tourism Economics (2021)
Keywords: forecasting; Google Trends; mixed-frequency data; tourism

Nowcasting Using Mixed Frequency Methods: An Application to the Scottish Economy,
Grant Allan, Gary Koop, Stuart McIntyre and Paul Smith, in Sankhya B: The Indian Journal of Statistics (2019)
Keywords: Nowcasting, Mixed frequency data, Regional economics

Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model,
Ruey Yau and C. Hueng, in Computational Economics (2019)
Keywords: DSGE model, Mixed frequency, Nowcasting, Kalman filter

Pricing VIX futures with mixed frequency macroeconomic information,
Xinglin Yang and Yuhuang Shang, in International Review of Economics & Finance (2024)
Keywords: Macroeconomic variables; Mixed frequency; Monte Carlo experiment; VIX futures pricing;

Estimation and forecasting using mixed-frequency DSGE models,
Alexander Meyer-Gohde and Ekaterina Shabalina, from Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS) (2022)
Keywords: Mixed-frequency data, DSGE models, Forecasting, Estimation, Temporal aggregation

Markov-Switching Mixed-Frequency VAR Models,
Massimiliano Marcellino and Claudia Foroni, from C.E.P.R. Discussion Papers (2014)
Keywords: Fore-; Markov-switching; Midas; Mixed-frequency var; Nowcasting

A mixed-frequency smooth measure for business conditions,
Yi-Ting Chen, in Empirical Economics (2021)
Keywords: Business conditions, Coincident indices, Mixed frequency, Smooth measure

Forecasting data revisions of GDP: a mixed frequency approach,
Jens Boysen-Hogrefe, in AStA Advances in Statistical Analysis (2008)
Keywords: Data revisions, GDP, Real-time data, Mixed frequency, Factor model,

Markov-switching mixed-frequency VAR models,
Claudia Foroni, Pierre Guérin and Massimiliano Marcellino, in International Journal of Forecasting (2015)
Keywords: Markov-switching; MIDAS; Mixed-frequency VAR; Nowcasting; Forecasting;

Forecasting Chinese GDP Growth with Mixed Frequency Data,
Heiner Mikosch and Ying Zhang, from KOF Swiss Economic Institute, ETH Zurich (2014)
Keywords: Forecasting, Mixed frequency data, MIDAS, China, GDP growth

Forecasting Economic Activity with Mixed Frequency Bayesian VARs,
Scott Brave, R. Andrew Butters and Alejandro Justiniano, from Federal Reserve Bank of Chicago (2016)
Keywords: Mixed frequency; Bayesian VARs; Real-time data; Nowcasting

FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure,
Cecilia Frale and Libero Monteforte, from Department of the Treasury, Ministry of the Economy and of Finance
Keywords: Mixed frequency models, Dynamic factor Models, MIDAS, Forecasting

Forecasting with Mixed Frequency Samples: The Case of Common Trends,
Peter Fuleky and Bonham Fuleky, from University of Hawaii Economic Research Organization, University of Hawaii at Manoa (2013)
Keywords: Dynamic Factor Model, Mixed Frequency Samples, Common Trends, Forecasting

Forecasting with Mixed Frequency Samples: The Case of Common Trends,
Peter Fuleky and Carl Bonham, from University of Hawaii at Manoa, Department of Economics (2013)
Keywords: Dynamic Factor Model, Mixed Frequency Samples, Common Trends, Forecasting

Forecasting with Mixed Frequency Samples: The Case of Common Trends,
Peter Fuleky and Carl Bonham, from University of Hawaii at Manoa, Department of Economics (2013)
Keywords: Dynamic Factor Model, Mixed Frequency Samples, Common Trends, Forecasting

FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure,
Cecilia Frale and Libero Monteforte, from Bank of Italy, Economic Research and International Relations Area (2011)
Keywords: mixed frequency models, dynamic factor models, MIDAS,forecasting.

Bayesian Inference for the Mixed-Frequency VAR Model,
Paul Viefers, from DIW Berlin, German Institute for Economic Research (2011)
Keywords: Markov mixture models, Label switching, Bayesian VAR, Mixed frequencies

MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area,
Christian Schumacher, Massimiliano Marcellino and Vladimir Kuzin, from C.E.P.R. Discussion Papers (2009)
Keywords: Euro area growth; Midas; Mixed-frequency data; Mixed-frequency var; Nowcasting

A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates,
Claudia Foroni and Massimiliano Marcellino, in International Journal of Forecasting (2014)
Keywords: Mixed-frequency data; Mixed-frequency VAR; MIDAS; Bridge models; Factor models; Nowcasting;

A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables,
Claudia Foroni and Massimiliano Marcellino, from European University Institute (2012)
Keywords: mixed-frequency data; mixed-frequency VAR; MIDAS; factor models; nowcasting; forecasting

Identifying High-Frequency Shockswith Bayesian Mixed-Frequency VARs,
Alessia Paccagnini and Fabio Parla, from Bank of Lithuania (2021)
Keywords: Bayesian mixed-frequency VAR, MIDAS, Monte Carlo, uncertainty shocks, macro-financial linkages

Forecasting crop yields through climate variables using mixed frequency data. The case of Argentine soybeans,
Magdalena Cornejo, in Económica (2021)
Keywords: yields; forecasting; climate; mixed-frequency; soybeans

A MIXED FREQUENCY ANALYSIS OF CONNECTIONS BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKETS IN CENTRAL AND EASTERN EUROPE,
Radu Lupu and Adrian Cantemir Calin, in Studii Financiare (Financial Studies) (2014)
Keywords: MIDAS regression, mixed frequency series, CEE markets

Real-time forecasting of the US federal government budget: A simple mixed frequency data regression approach,
Eric Ghysels and Nazire Ozkan, in International Journal of Forecasting (2015)
Keywords: Forecasting; Mixed-frequency data; MIDAS regressions;

Electricity Consumption and Economic Growth in Turkey: A Mixed Frequency Var Approach,
Dilara Berksun, Nukhet Dogan and M. Hakan Berument, in Energy Economics Letters (2021)
Keywords: Electricity consumption, Economic development, Mixed frequency vector, Autoregression.

The Effectiveness of China’s Monetary Policy: Based on the Mixed-Frequency Data,
Deqing Wang, Yinqiu Song, Hongyan Zhang and Shengjie Pan, in Asian Economic and Financial Review (2020)
Keywords: Monetary policy, China, Effectiveness, New normal, Mixed-frequency, FAVAR, Bayesian.

Financial Stability and Economic Activity in China: Based on Mixed-Frequency Spillover Method,
Xuan Lv, Menggang Li and Yingjie Zhang, in Sustainability (2022)
Keywords: financial stability; financial stress index; mixed frequency; spillovers; economic security

Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach,
Nuttanan Wichitaksorn, in Journal of Asian Economics (2022)
Keywords: Thai macroeconomic data; Mixed-frequency; Forecasting; Vector autoregression; COVID-19;

Martingale limit theorems of divisible statistics in a multinomial scheme with mixed frequencies,
Haizhen Wu and Giorgi Kvizhinadze, in Statistics & Probability Letters (2011)
Keywords: Functional limit theorems Divisible statistics Multinomial scheme Mixed frequencies

The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns,
Ruina Wang and Jinfang Li, in The North American Journal of Economics and Finance (2021)
Keywords: Individual stock investor sentiment; Mixed-frequency; Influence power; Forecasting;

TF-MIDAS: a new mixed-frequency model to forecast macroeconomic variables,
Nicolás Bonino-Gayoso and Alfredo Garcia-Hiernaux, from University Library of Munich, Germany (2019)
Keywords: Mixed-Frequency models, TF-MIDAS, U-MIDAS, Nowcasting, Forecasting

Forecasting Quarterly Russian GDP Growth with Mixed-Frequency Data,
Heiner Mikosch and Laura Solanko, in Russian Journal of Money and Finance (2019)
Keywords: forecasting, Russia, GDP growth, mixed frequency data, MIDAS, bridge equations

Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model,
Massimiliano Marcellino, Claudia Foroni, Roberto Casarin and Francesco Ravazzolo, from C.E.P.R. Discussion Papers (2017)
Keywords: Dynamic panel model; Mixed-frequency; Markov switching; Bayesian inference; Mcmc

Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy,
Antonello D'Agostino and Jacopo Cimadomo, from European Central Bank (2015)
Keywords: government spending multiplier, mixed-frequency data, time variation

Forecasting Czech GDP Using Mixed-Frequency Data Models,
Michal Franta, David Havrlant and Marek Rusnák, in Journal of Business Cycle Research (2016)
Keywords: Short-term forecasting, Real-time data, GDP, Mixed-frequency data

A novel spatial mixed frequency forecasting model with application to Chinese regional GDP,
Xianning Wang, Jingrong Dong, Zhi Xiao and Guanjie He, in Journal for Economic Forecasting (2019)
Keywords: Spatial mixed frequency; Forecastingl; MIDAS; Chinese regional GDP

Forecasting GDP growth using mixed-frequency models with switching regimes,
Fady Barsoum and Sandra Stankiewicz, in International Journal of Forecasting (2015)
Keywords: Markov-switching; Business cycle; Mixed-frequency data analysis; Forecasting;

Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis,
Hossein Hassani, António Rua, Emmanuel Sirimal Silva and Dimitrios Thomakos, in International Journal of Forecasting (2019)
Keywords: Multivariate SSA; Mixed-frequency; GDP; Industrial production; Forecasting;

Forecasting Czech GDP Using Mixed-Frequency Data Models,
Michal Franta, David Havrlant and Marek Rusnák, from Czech National Bank, Research and Statistics Department (2014)
Keywords: GDP, mixed-frequency data, real-time data, short-term forecasting

Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes,
Alain Hecq and Thomas Goetz, from University Library of Munich, Germany (2018)
Keywords: Mixed frequencies; Granger causality; Hypothesis testing, Vector autoregressions; Cointegration

Analyzing and Forecasting Thai Macroeconomic Data using Mixed-Frequency Approach,
Nuttanan Wichitaksorn, from Puey Ungphakorn Institute for Economic Research (2020)
Keywords: Thai Macroeconomic Data; Mixed-frequency; Forecasting; Vector Autoregression; COVID-19

Macroeconomic Forecasting with LSTM and Mixed Frequency Time Series Data,
Sarun Kamolthip, from Puey Ungphakorn Institute for Economic Research (2021)
Keywords: LSTM; Mixed Frequency Data; Nowcasting; Time Series; Macroeconomic Indicators

Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters,
Markus Heinrich and Magnus Reif, from CESifo (2020)
Keywords: time-varying parameters, forecasting, nowcasting, mixed-frequency models, Bayesian methods

Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy,
Antonello D’Agostino and Jacopo Cimadomo, from European Stability Mechanism (2015)
Keywords: Time variation, mixed-frequency data, government spending multiplier

A data-driven newsvendor problem: A high-dimensional and mixed-frequency method,
Cheng-Hu Yang, Hai-Tang Wang, Xin Ma and Srinivas Talluri, in International Journal of Production Economics (2023)
Keywords: Data-driven; Newsvendor; Machine learning; Mixed-frequency data; Variables selection;

Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes,
Fady Barsoum and Sandra Stankiewicz, from Department of Economics, University of Konstanz (2013)
Keywords: Markov-switching, Business cycle, Mixed-frequency data analysis, Forecasting

Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model,
Fady Barsoum, from Department of Economics, University of Konstanz (2015)
Keywords: Mixed-frequency, Bayesian estimation, Bootstrapping, Density forecasts, Nowcasting

Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets,
Kihwan Kim and Norman Swanson, from Rutgers University, Department of Economics (2013)
Keywords: forecasting, diffusion index, mixed frequency, recursive estimation, Kalman filter

Nowcasting real GDP in Tunisia using large datasets and mixed-frequency models,
Hagher Ben Rhomdhane and Brahim Mehdi Benlallouna, from Economics Section, The Graduate Institute of International Studies (2022)
Keywords: Mixed-Frequency Data Sampling; Nowcasting; short-term forecasting

Nowcasting in Tunisia using large datasets and mixed frequency models,
Hager Ben Romdhane, from Economics Section, The Graduate Institute of International Studies (2021)
Keywords: Mixed Frequency Data Sampling; Nowcasting; short-term forecasting

Structural analysis with mixed-frequency data: A model of US capital flows,
Emanuele Bacchiocchi, Andrea Bastianin, Alessandro Missale and Eduardo Rossi, in Economic Modelling (2020)
Keywords: Mixed frequency variables; Capital flows; Monetary policy; Uncertainty shocks;

Short-term monitoring of the Spanish Government balance with mixed-frequencies models,
Teresa Leal, Diego J. Pedregal and Javier Pérez, from Banco de España (2009)
Keywords: Fiscal forecasting, Fiscal policies, Mixed frequency data, Kalman Filter

An extension of stochastic volatility model with mixed frequency information,
Yuhuang Shang and Lulu Liu, in Economics Letters (2017)
Keywords: Stochastic volatility; Mixed-frequency; Monte Carlo experiment; MCMC method; Unobservable component;

The estimation of continuous time models with mixed frequency data,
Marcus Chambers, in Journal of Econometrics (2016)
Keywords: Continuous time; Mixed frequency data; Exact discrete time models; Stock and flow variables;

The Estimation of Continuous Time Models with Mixed Frequency Data,
Marcus Chambers, from University of Essex, Department of Economics (2016)
Keywords: Continuous time; mixed frequency data; exact discrete time models; stock and flow variables.

Mixed frequency models: Bayesian approaches to estimation and prediction,
Abel Rodriguez and Gavino Puggioni, in International Journal of Forecasting (2010)
Keywords: Mixed frequency data Model selection Model averaging Interest rates Gross national product

Forecasting economic activity with mixed frequency BVARs,
Scott Brave, R. Andrew Butters and Alejandro Justiniano, in International Journal of Forecasting (2019)
Keywords: Mixed frequency; Bayesian VAR; Real-time data; Nowcasting; Forecasting; Economic activity;

Mixed-Frequency Predictive Regressions with Parameter Learning,
Markus Leippold and Hanlin Yang, from Swiss Finance Institute (2023)
Keywords: Mixed-frequency data, predictive regressions, stochastic volatility, consumption-wealth ratio, parameter learning, portfolio optimization

Testing for Granger causality in large mixed-frequency VARs,
Thomas Götz, Alain Hecq and Stephan Smeekes, in Journal of Econometrics (2016)
Keywords: Granger causality; Mixed frequency VAR; Bayesian VAR; Reduced rank model; Bootstrap test;

Testing for Granger causality in large mixed-frequency VARs,
Thomas Götz, Alain Hecq and Stephan Smeekes, from Deutsche Bundesbank (2015)
Keywords: Granger Causality, Mixed Frequency VAR, Bayesian VAR, Reduced Rank Model, Bootstrap Test

Forecasting Based on Common Trends in Mixed Frequency Samples,
Peter Fuleky and Carl Bonham, from University of Hawaii Economic Research Organization, University of Hawaii at Manoa (2013)
Keywords: Dynamic Factor Model, Mixed Frequency Samples, Common Trends, Forecasting, Tourism Industry

Forecasting Based on Common Trends in Mixed Frequency Samples,
Peter Fuleky and Carl Bonham, from University of Hawaii at Manoa, Department of Economics (2011)
Keywords: Dynamic Factor Model, Mixed Frequency Samples, Common Trends, Forecasting, Tourism Industry

Measuring macroeconomic disagreement – A mixed frequency approach,
Jeffrey Sheen and Ben Zhe Wang, in Journal of Economic Behavior & Organization (2021)
Keywords: Macroeconomic disagreement; Economic uncertainty; Survey data; Mixed frequency; State-space model;

Mixed frequency structural models: estimation, and policy analysis,
Claudia Foroni and Massimiliano Marcellino, from Norges Bank (2013)
Keywords: Structural VAR, DSGE models, temporal aggregation, mixed frequency data, estimation. policy analysis

Health progress and economic growth in the United States: the mixed frequency VAR analyses,
Yi-Hui Liu, Wei-Shiun Chang and Wen-Yi Chen, in Quality & Quantity: International Journal of Methodology (2019)
Keywords: Mixed frequency VAR, Mixed data sampling, MIDAS, Health progress, Economic growth, Business cycle

Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures,
J. Miller, from Department of Economics, University of Missouri (2012)
Keywords: cointegration, mixed-frequency time series, mixed data sampling (MiDaS), autoregressive distributed lag, GDP forecasts

Reservoir computing for macroeconomic forecasting with mixed-frequency data,
Giovanni Ballarin, Petros Dellaportas, Lyudmila Grigoryeva, Marcel Hirt, Sophie van Huellen and Juan-Pablo Ortega, in International Journal of Forecasting (2024)
Keywords: Reservoir computing; Echo state networks; Forecasting; U.S. output growth; GDP; Mixed-frequency data; Time series; Multi-Frequency Echo State Network; MIDAS; DFM;

Mixed-Frequency Vector Autoregressive Models☆This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply,
Claudia Foroni, Eric Ghysels and Massimiliano Marcellino, from Emerald Group Publishing Limited (2013)
Keywords: Mixed-frequency data, mixed-frequency VAR, MIDAS, nowcasting, forecasting, E37, C53

Modeling with Mixed Frequency Variables: A Review of Recently Extended Methods in Time Series Econometrics (in Persian),
Nasser Khiabani and Fateme Rajabi, in The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه) (2019)
Keywords: Mixed Frequency Data, Temporal Aggregation, Time Series, Efficiency, MIDAS Regression.

A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT,
Afees Salisu, Rangan Gupta and Riza Demirer, in Annals of Financial Economics (AFE) (2022)
Keywords: Infectious diseases related uncertainty, output growth, forecast, mixed-frequency