Essays about: "MIDAS regression"
Found 5 essays containing the words MIDAS regression.
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1. Nowcasting U.S. Inflation: The Role of Online Retail Prices
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : We examine whether high-frequency online retail price data contributes to more accurate nowcasts of the U.S. inflation rate, as given by the monthly change in the Consumer Price Index, when other commonly considered variables for predicting inflation already have been taken into account. READ MORE
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2. COMPARING THE FORECASTING PERFORMANCE OF VAR, BVAR AND U-MIDAS
University essay from Uppsala universitet/Statistiska institutionenAbstract : ThispaperaimstocomparetheforecastingperformanceofthewidelyusedVARandBayesian VAR model to the unrestricted MIDAS regression. The models are tested on a real-time macroeconomic data set ranging from 2000 to 2015. READ MORE
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3. A Comparison of GARCH-class Models and MIDAS Regression with Applications in Volatility Prediction and Value at Risk Estimation
University essay from Uppsala universitet/Statistiska institutionenAbstract : We use GARCH(1,1), EGARCH and MIDAS regression to forecast weekly and monthly conditional variance of the OMXS30 equity index and USD/SEK exchange rate. Forecasts are compared with realized volatility and accuracy is evaluated using a Quasi-likelihood loss function and Diebold Mariano test. READ MORE
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4. FORECASTING WITH MIXED FREQUENCY DATA:MIDAS VERSUS STATE SPACE DYNAMIC FACTOR MODEL : AN APPLICATION TO FORECASTING SWEDISH GDP GROWTH
University essay from Örebro universitet/Handelshögskolan vid Örebro UniversitetAbstract : Most macroeconomic activity series such as Swedish GDP growth are collected quarterly while an important proportion of time series are recorded at a higher frequency. Thus, policy and business decision makers are often confront with the problems of forecasting and assessing current business and economy state via incomplete statistical data due to publication lags. READ MORE
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5. MIDAS Predicting Volatility at Different Frequencies
University essay from Statistiska institutionenAbstract : I compared various MIDAS (mixed data sampling) regression models to predict volatility from one week to one month with different regressors based on the records of Chinese Shanghai composite index. The main regressors are in 2 types, one is the realized power (involving 5-min absolute returns), the other is the quadratic variation, computed by squared returns. READ MORE
