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Forecasting with Mixed Frequencies

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References

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2010MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area312 cited
2003

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Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

173 cited

Cited by

2018Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models116 cited
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2014Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences64 cited
2013Changes in predictive ability with mixed frequency data61 cited
2016Google's MIDAS Touch: Predicting UK Unemployment with Internet Search Data57 cited
2016A mixed frequency approach to the forecasting of private consumption with ATM/POS data50 cited
2016A comparison of MIDAS and bridge equations48 cited
2011Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals45 cited
2024Do topic and sentiment matter? Predictive power of online reviews for hotel demand forecasting41 cited
2015Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series35 cited
2017Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach32 cited
2024FinTech, systemic risk and bank market power – Australian perspective20 cited
2010Doubling Your Monetary Base and Surviving: Some International Experience16 cited
2023Measuring Local Economic Activity Using Pedestrian Count Data*5 cited