Reverse restricted MIDAS model with application to US interest rate forecasts

DOI10.1080/03610918.2018.1563148zbMath1489.62379OpenAlexW2913799676WikidataQ128519457 ScholiaQ128519457MaRDI QIDQ5083996

Qifa Xu, Fang Sun, Xingxuan Zhuo, Xue Huang, Cuixia Jiang

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1563148

zbMATH Keywords

MIDASmixed frequency dataRR-MIDASRU-MIDAS

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) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• midasr

Cites Work

• MIDAS Regressions: Further Results and New Directions
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Macroeconomics and the reality of mixed frequency data
• Regression models with mixed sampling frequencies
• Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies
• The Integration of Artificial Neural Networks and Text Mining to Forecast Gold Futures Prices
• Regression Quantiles
• Prediction of temporally aggregated systems involving both stock and flow variables
• Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models
• State Space Models and MIDAS Regressions

This page was built for publication: Reverse restricted MIDAS model with application to US interest rate forecasts