State Space Models and MIDAS Regressions

DOI10.17615/ztnp-bk56 10.1080/07474938.2012.690675; 10.17615/ztnp-bk56zbMath1491.62176OpenAlexW2111735276MaRDI QIDQ5080577

Jennie Bai, Eric Ghysels, Jonathan H. Wright

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2012.690675

zbMATH Keywords

Kalman filtermixed frequency data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Reverse restricted MIDAS model with application to US interest rate forecasts, Incorporating overnight and intraday returns into multivariate GARCH volatility models, The Bayesian nested Lasso for mixed frequency regression models, Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit, Macroeconomics and the reality of mixed frequency data, Nowcasting using mixed frequency methods: an application to the Scottish economy, TF-MIDAS: a transfer function based mixed-frequency model, Monitoring banking system connectedness with big data

Cites Work

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• Predicting volatility: getting the most out of return data sampled at different frequencies
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• Real‐Time Forecasts of Inflation: The Role of Financial Variables