TF-MIDAS: a transfer function based mixed-frequency model

DOI10.1080/00949655.2021.1879082OpenAlexW3092464874MaRDI QIDQ3389613

Nicolás Bonino-Gayoso, Alfredo García-Hiernaux

Publication date: 23 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://eprints.ucm.es/id/eprint/61296/1/subPaper_250620.pdf

zbMATH Keywords

forecastingnowcastingmixed-frequency modelsTF-MIDASU-MIDAS

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Unnamed Item

Uses Software

• E4
• MIDAS Regressions

Cites Work

• Unnamed Item
• Unnamed Item
• MIDAS Regressions: Further Results and New Directions
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Fast estimation methods for time-series models in state–space form
• State Space Models and MIDAS Regressions

This page was built for publication: TF-MIDAS: a transfer function based mixed-frequency model