A MIDAS approach to modeling first and second moment dynamics
type: Item
instance of: scholarly article
title: A MIDAS approach to modeling first and second moment dynamics
zbMATH Open document ID: 1391.62293
author: Davide Pettenuzzo
author: Rossen Valkanov
author: Allan Timmermann
published in: Journal of Econometrics
publication date: 2016-07-12T00:00:00Z
review text: In this paper the authors generalize the conventional regression specification to account for MIDAS effects in the votality equation. The Bayesian modeling approach offers several advantages in this approach, and it is discussed how to generate draws from the predictive density using Gibbs sampling methods. Empirical applications are considered and different forecast combination schemes are covered in this paper. Results observed suggest that model combination schemes assign weight to MIDAS-in-votality models and produce consistent gains in out-of-sample predictive performance.
reviewed by: Rózsa Horváth-Bokor
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 6603053
zbMATH Keywords: mixed-data-sampling (MIDAS) models
zbMATH Keywords: Bayesian estimation
zbMATH Keywords: stochastic votality
zbMATH Keywords: out-of-sample forecasts
zbMATH Keywords: inflation forecasts
zbMATH Keywords: industrial production
zbMATH Keywords: Gibbs sampling methods
describes a project that uses: Gibbsit
MaRDI profile type: Publication
full work available at URL: j.jeconom.2016.04.009
OpenAlex ID: W3125253874
cites work: An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
cites work: Markov chain Monte Carlo methods for stochastic volatility models.
cites work: Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
cites work: Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
cites work: Q3584739
cites work: Optimal prediction pools
cites work: Macroeconomics and the reality of mixed frequency data
cites work: MIDAS Regressions: Further Results and New Directions
cites work: Strictly Proper Scoring Rules, Prediction, and Estimation
cites work: Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
cites work: Bayes Factors
cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
cites work: Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
DOI: 10.1016/J.JECONOM.2016.04.009
Recommended article: Compartmental Modeling and Second-Moment Analysis of State Space Systems
Recommended article: A dynamic method of moments
Recommended article: Q4276941
Recommended article: First-order, second-moment methods
Recommended article: Dynamic First-Order Modeling of Phase-Transition Probabilities
Recommended article: Second-order approximation of dynamic models without the use of tensors
Recommended article: Q2987384
Recommended article: A second-order scheme for integration of one-dimensional dynamic analysis
Recommended article: A moment-based approach to the dynamical solution of the Kuramoto model
description: scientific article; zbMATH DE number 6603053