Blar i Norges Banks vitenarkiv på emneord "MIDAS model"

Viser treff 1-3 av 3

    • A Survey of Econometric Methods for Mixed-Frequency Data 

      Foroni, Claudia; Marcellino, Massimiliano (Working Papers;6/2013, Working paper, 2013)
      The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...

    • Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content 

      Foroni, Claudia; Ravazzolo, Francesco; Ribeiro, Pinho J. (Working Papers;14/2015, Working paper, 2015)
      Recent evidence highlights that commodity price changes exhibit a short-lived, yet robust contemporaneous effect on commodity currencies, which is mainly detectable in daily-frequency data. We use MIDAS models in a Bayesian ...

    • Using Low Frequency Information for Predicting High Frequency Variables 

      Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano (Working Papers;13/2015, Working paper, 2015)
      We analyze how to incorporate low frequency information in models for predicting high frequency variables. In doing so, we introduce a new model, the reverse unrestricted MIDAS (RU-MIDAS), which has a periodic structure ...