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Nowcasting causality in mixed frequency vector autoregressive models
11 references·2 citing·53 second hop
Nowcasting causality in mixed frequency vector autoregressive models (2013)Nowcasting causality in mixed frequency v…U-Midas: Midas Regressions with Unrestricted Lag Polynomials (2016)U-Midas: Midas Regressions wi…Testing for Granger causality with mixed frequency data (2015)Testing for Granger causality…Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series (2015)Testing for Cointegration wit…Macroeconomics and the Reality of Mixed Frequency Data (2012)Macroeconomics and the Realit…Granger Causality Tests with Mixed Data Frequencies (2009)Granger Causality Tests with …Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS , by Helmut Lütkepohl, Springer, 2005 (2006)NEW INTRODUCTION TO MULTIPLE …The MIDAS Touch: Mixed Data Sampling Regression Models (2004)The MIDAS Touch: Mixed Data S…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Future directions in nowcasting economic activity: A systematic literature review (2023)Future directions in nowcasti…Structural analysis with mixed-frequency data: A model of US capital flows (2019)Structural analysis with mixe…A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Forecasting GDP growth using mixed-frequency models with switching regimes (2014)Variable Selection in Predictive MIDAS Models (2014)Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models (2018)Macroeconomics and Reality (1980)Testing for causality (1980)Some recent development in a concept of causality (1988)Bayesian Mixed Frequency VARs (2014)Do high-frequency financial data help forecast oil prices? The MIDAS touch at work (2015)Using low frequency information for predicting high frequency variables (2018)New Indexes of Coincident and Leading Economic Indicators (1989)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Large Bayesian vector auto regressions (2009)Real-Time Measurement of Business Conditions (2009)Prior Selection for Vector Autoregressions (2014)Alternative Explanations of the Money-Income Correlation (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Topics in Structural VAR Econometrics (1997)Market integration and price transmission in consumer markets of developing countries (2013)Quantifying the speculative component in the real price of oil: The role of global oil inventories (2013)Volatility linkages between energy and agricultural commodity prices (2015)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)Now-Casting and the Real-Time Data Flow (2013)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)Macroeconomic Forecasting With Mixed-Frequency Data (2008)Parametric and Nonparametric Volatility Measurement (2010)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The estimation of continuous time models with mixed frequency data (2016)Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data (2019)Price Transmission in Agricultural Markets (2021)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Multivariate Simultaneous Generalized ARCH (1995)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)A new test of multivariate nonlinear causality (2018)Geopolitical risk and crude oil security: A Chinese perspective (2020)Oil price, green innovation and institutional pressure: A China's perspective (2022)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)
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References

  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2004The MIDAS Touch: Mixed Data Sampling Regression Models563 cited
  • 2006NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS , by Helmut Lütkepohl, Springer, 2005190 cited
  • 2015Testing for Granger causality with mixed frequency data117 cited
  • 2012Macroeconomics and the Reality of Mixed Frequency Data73 cited
  • 2016U-Midas: Midas Regressions with Unrestricted Lag Polynomials71 cited
  • 2015Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series35 cited
  • 2009Granger Causality Tests with Mixed Data Frequencies16 cited

Cited by

  • 2023Future directions in nowcasting economic activity: A systematic literature review29 cited
  • 2019Structural analysis with mixed-frequency data: A model of US capital flows9 cited

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