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Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach
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References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1999Forecasting inflation1,273 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices864 cited
  • 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited
  • 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
  • 2001Forecasting Output and Inflation: The Role of Asset Prices478 cited
  • 2013Now-Casting and the Real-Time Data Flow452 cited
  • 2008A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries394 cited
  • 2013Should Macroeconomic Forecasters Use Daily Financial Data and How?331 cited
  • 2013Unrestricted Mixed Data Sampling (MIDAS): MIDAS Regressions with Unrestricted Lag Polynomials275 cited
  • 2012Real‐Time Forecasts of Inflation: The Role of Financial Variables222 cited
  • 2011Commodity Prices, Convenience Yields, and Inflation157 cited
  • 2010Commodity prices, money and inflation147 cited
  • 1997Predicting Real Growth and Inflation with the Yield Spread

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125 cited
  • 2012Forecasting with Mixed-Frequency Data104 cited
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    • 2016A comparison of MIDAS and bridge equations48 cited