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Midas Versus Mixed-Frequency VAR: Nowcasting GDP in the Euro Area
16 references·1 citing·51 second hopsampled
Midas Versus Mixed-Frequency VAR: Nowcasting GDP in the Euro Area (2016)Midas Versus Mixed-Frequency VAR: Nowcast…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Forecast Combinations (2010)Forecast CombinationsForecasting US output growth using leading indicators: an appraisal using MIDAS models (2009)Forecasting US output growth …Forecasting Professional Forecasters (2009)Forecasting Professional Fore…A Coincident Index, Common Factors, and Monthly Real GDP* (2009)A Coincident Index, Common Fa…Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data (2008)Real-time forecasting of Germ…Macroeconomic Forecasting With Mixed-Frequency Data (2008)Macroeconomic Forecasting Wit…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases (2005)Nowcasting GDP and Inflation:…Leading Indicators for Euro‐area Inflation and GDP Growth* (2005)Leading Indicators for Euro‐a…A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)A comparison of direct and it…The MIDAS Touch: Mixed Data Sampling Regression Models (2004)The MIDAS Touch: Mixed Data S…A Companion to Economic Forecasting (2004)A Companion to Economic Forec…Monetary policy in a data-rich environment (2003)Monetary policy in a data-ric…A new coincident index of business cycles based on monthly and quarterly series (2002)A new coincident index of bus…Doubling Your Monetary Base and Surviving: Some International Experience (2010)Doubling Your Monetary Base a…Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)State-Space Models with Regime Switching (1999)Now-Casting and the Real-Time Data Flow (2013)Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016)On the Methodological Framework of Composite Indices: A Review of the Issues of Weighting, Aggregation, and Robustness (2018)Asymptotic Inference about Predictive Ability (1996)Monetary Policy Rules Based on Real-Time Data (2001)Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP* (2010)MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area (2010)International Journal of Central Banking (2012)Should Macroeconomic Forecasters Use Daily Financial Data and How? (2013)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)New Eurocoin: Tracking Economic Growth in Real Time (2010)Range‐Based Estimation of Stochastic Volatility Models (2002)Modeling and Forecasting Realized Volatility (2003)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Why Do Absolute Returns Predict Volatility So Well? (2006)Parametric and Nonparametric Volatility Measurement (2010)Chapter 4 Forecast Combinations (2006)Nowcasting GDP in Real Time: A Density Combination Approach (2013)State Space Models and MIDAS Regressions (2013)Do high-frequency financial data help forecast oil prices? The MIDAS touch at work (2015)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Forecasting Inflation (2013)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Inferential Theory for Factor Models of Large Dimensions (2003)Testing for a unit root in panels with dynamic factors (2004)Macro Factors in Bond Risk Premia (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)The Combination of Forecasts (1969)Determining the Number of Factors in Approximate Factor Models (2002)Advances in Forecasting under Instability (2013)Forecasting in social settings: The state of the art (2019)Bayesian optimization based dynamic ensemble for time series forecasting (2022)
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References

  • 2013Handbook of Economic Forecasting1,216 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 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
  • 2003Monetary policy in a data-rich environment702 cited
  • 2002A new coincident index of business cycles based on monthly and quarterly series631 cited
  • 2004The MIDAS Touch: Mixed Data Sampling Regression Models563 cited
  • 2008Macroeconomic Forecasting With Mixed-Frequency Data392 cited
  • 2009Forecasting US output growth using leading indicators: an appraisal using MIDAS models236 cited
  • 2010Forecast Combinations215 cited
  • 2008Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data213 cited
  • 2004A Companion to Economic Forecasting211 cited
  • 2009A Coincident Index, Common Factors, and Monthly Real GDP*164 cited
  • 2009Forecasting Professional Forecasters141 cited
  • 2005Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases

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138 cited
  • 2005Leading Indicators for Euro‐area Inflation and GDP Growth*134 cited
  • Cited by

    • 2010Doubling Your Monetary Base and Surviving: Some International Experience16 cited