Search Results

Is Industrial Production Still the Dominant Factor for the US Economy?,
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin, from C.E.P.R. Discussion Papers (2017)
Keywords: Group factor models; Midas; Gdp growth

Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence,
Lin Huang and Zijun Wang, in Journal of Banking & Finance (2014)
Keywords: Investment factor; ICAPM; Investment opportunities; GARCH; MIDAS;

Nowcasting global economic growth: A factor-augmented mixed-frequency approach,
Laurent Ferrara and Clément Marsilli, from Banque de France (2014)
Keywords: Global growth, Nowcasting, Factor-Augmented MIDAS.

Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach,
Anne-Florence Allard, Leonardo Iania and Kristien Smedts, in International Review of Financial Analysis (2020)
Keywords: Stock-bond correlation; Frequency-variation; Macroeconomic factors; Financial factors; DCC-MIDAS model;

Disaggregation methods based on MIDAS regression,
Alain Guay and Alain Maurin, from HAL (2015)
Keywords: Temporal disaggregation,MIDAS regression

Disaggregation methods based on MIDAS regression,
Alain Guay and Alain Maurin, in Economic Modelling (2015)
Keywords: Temporal disaggregation; MIDAS regression;

MIDAS Modeling for Core Inflation Forecasting,
Luis Libonatti, from Inter-American Development Bank (2018)
Keywords: Forecasting;Inflation;MIDAS

Nowcasting Colombian Economic Activity: DFM and Factor-MIDAS approaches,
Franky Juliano Galeano-Ramírez, Nicolás Martínez-Cortés and Carlos D. Rojas-Martínez, from Banco de la Republica de Colombia (2021)
Keywords: Colombian economic activity, nowcast, forecast, mixed frequency factor models, actividad económica colombiana, nowcast, pronóstico, modelos de frecuencia mixta con factores

Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach,
Jing Zhao, in Resources Policy (2022)
Keywords: Crude oil price; GARCH-MIDAS model; Volatility forecasting; Adaptive-Lasso; Oil market fundamentals;

MIDAS models in banking sector – systemic risk comparison,
Henryk Gurgul, Roland Mestel and Robert Syrek, in Managerial Economics (2017)
Keywords: systemic risk measures, GARCH-MIDAS, DCC-MIDAS

A hybrid MIDAS approach for forecasting hotel demand using large panels of search data,
Binru Zhang, Nao Li, Rob Law and Heng Liu, in Tourism Economics (2022)
Keywords: Dynamic factor model; forecast combinations; hotel demand; hybrid MIDAS approach; mixed-frequency data; search engine data

Forecast Pooling or Information Pooling During Crises? MIDAS Forecasting of GDP in a Small Open Economy,
Hwee Kwan Chow and Daniel Han, from Singapore Management University, School of Economics (2021)
Keywords: Forecast evaluation; Factor MIDAS; pooling GDP forecasts; global financial crisis; Covid-19 pandemic crisis

Forecasting China's GDP growth using dynamic factors and mixed-frequency data,
Yu Jiang, Yongji Guo and Yihao Zhang, in Economic Modelling (2017)
Keywords: GDP growth forecast; Dynamic factor model; MIDAS regression;

A Cholesky-MIDAS model for predicting stock portfolio volatility,
Ralf Becker, Adam Clements and Robert O'Neill, from National Centre for Econometric Research (2010)
Keywords: Cholesky, Midas, volatility forecasts

Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators,
Jeong-Ryeol Kurz-Kim, from Deutsche Bundesbank (2016)
Keywords: Factor model, MIDAS, Lasso, Elastic Net, ECM, Nowcasting, Forecasting

MIDAS and bridge equations,
Christian Schumacher, from Deutsche Bundesbank (2014)
Keywords: mixed-data sampling (MIDAS), bridge equations, GDP nowcasting

Yet another look at MIDAS regression,
Philip Hans Franses, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
Keywords: high frequency, low frequency, MIDAS regression

MIDAS Modeling for Core Inflation Forecasting,
Luis Libonatti, from Central Bank of Argentina, Economic Research Department (2017)
Keywords: MIDAS, distributed lags, core inflation, forecasting

Hybrid ARDL-MIDAS-Transformer time-series regressions for multi-topic crypto market sentiment driven by price and technology factors,
Ioannis Chalkiadakis, Gareth W. Peters and Matthew Ames, in Digital Finance (2023)
Keywords: Mixed-data sampling time-series regression (MIDAS), Transformer deep neural network, Multi-scale resolution data, Natural language processing (NLP), Text sentiment NLP time-series modelling, Gegenbauer long memory, Econometrics, Time-series

Proyecciones macroeconómicas con datos en frecuencias mixtas. Modelos ADL-MIDAS, U-MIDAS y TF-MIDAS con aplicaciones para Uruguay,
Santiago Etchegaray Alvarez, from Banco Central del Uruguay (2022)
Keywords: Macroeconomic forecasting, Mixed frequency, TF-MIDAS, U-MIDAS, ADL-MIDAS, Nowcasting, Forecasts combination

Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach,
Eric Girardin and Roselyne Joyeux, from HAL (2013)
Keywords: China, Conditional variance, MIDAS

Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,
Hoang Nguyen and Farrukh Javed, in Journal of Empirical Finance (2023)
Keywords: GAS copulas; MIDAS; Asymmetry;

Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach,
Eric Girardin and Roselyne Joyeux, in Economic Modelling (2013)
Keywords: MIDAS; Conditional variance; China;

Estimating Madagascar economic growth using the Mixed Data Sampling (MIDAS) approach,
Andrianady Josue, Njakanasandratra Rajaonarison and Yves Razanajatovo, from University Library of Munich, Germany (2023)
Keywords: MIDAS, economic growth, Madagascar

Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,
Hoang Nguyen and Farrukh Javed, from Örebro University, School of Business (2021)
Keywords: GAS copulas; MIDAS; asymmetry

Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses,
Olaoluwa Yaya, Ahamuefula Ogbonna, Ayobami O. Adesina, Kafayat Alobaloke and Xuan Vinh Vo, from University Library of Munich, Germany (2022)
Keywords: GARCH-MIDAS; DCC-MIDAS; Disaggregated oil shocks; Dynamic correlation; Platinum

Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses,
Olaoluwa Yaya, Ahamuefula Ogbonna, Oluwaseun A. Adesina, Kafayat A. Alobaloke and Xuan Vinh Vo, in Resources Policy (2022)
Keywords: GARCH-MIDAS; DCC-MIDAS; Disaggregated oil shocks; Dynamic correlation; Platinum;

Real-Time Forecasting with a MIDAS VAR,
Heiner Mikosch and Stefan Neuwirth, from KOF Swiss Economic Institute, ETH Zurich (2015)
Keywords: Forecasting, Mixed frequency data, MIDAS, VAR, Real time

Variable Selection in Predictive MIDAS Models,
Clément Marsilli, from Banque de France (2014)
Keywords: Forecasting, Mixed frequency data, MIDAS, Variable selection, GDP.

Nowcasting East German GDP growth: A MIDAS approach,
João C. Claudio, Katja Heinisch and Oliver Holtemöller, from Halle Institute for Economic Research (IWH) (2019)
Keywords: business surveys, East Germany, MIDAS model, nowcasting

Uncertainty, Skewness, and the Business Cycle through the MIDAS Lens,
Efrem Castelnuovo and Lorenzo Mori, from CESifo (2022)
Keywords: uncertainty, skewness, quantile regressions, vector autoregressions, MIDAS

Nowcasting East German GDP growth: a MIDAS approach,
João C. Claudio, Katja Heinisch and Oliver Holtemöller, in Empirical Economics (2020)
Keywords: Business surveys, East Germany, MIDAS model, Nowcasting

Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens,
Efrem Castelnuovo and Lorenzo Mori, from Dipartimento di Scienze Economiche "Marco Fanno" (2022)
Keywords: Uncertainty, skewness, quantile regressions, vector autoregressions, MIDAS

Forecasting M&A deals with MIDAS count model,
Javier Ojea Ferreiro, Wildmer Daniel Gregori and Michela Nardo, from Joint Research Centre, European Commission (2022)
Keywords: M&A forecasting, MIDAS approach, count process, overdispersion

Uncertainty, Skewness and the Business Cycle - Through the MIDAS Lens,
Efrem Castelnuovo and Lorenzo Mori, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2022)
Keywords: Uncertainty, skewness, quantile regressions, VARs, MIDAS

Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach,
Qifa Xu, Lu Chen, Cuixia Jiang and Jing Yuan, in Pacific-Basin Finance Journal (2018)
Keywords: Systemic risk; CoVaR; Risk spillover; MIDAS; DCC-MIDAS-t;

TF-MIDAS: a new mixed-frequency model to forecast macroeconomic variables,
Nicolás Bonino-Gayoso and Alfredo Garcia-Hiernaux, from University Library of Munich, Germany (2019)
Keywords: Mixed-Frequency models, TF-MIDAS, U-MIDAS, Nowcasting, Forecasting

Nowcasting Finnish GDP growth using financial variables: a MIDAS approach,
Olli-Matti Laine and Annika Lindblad, from Bank of Finland (2020)
Keywords: MIDAS, Nowcasting, Financial markets, GDP

Nowcasting Turkish GDP with MIDAS: Role of Functional Form of the Lag Polynomial,
Mahmut Gunay, from Research and Monetary Policy Department, Central Bank of the Republic of Turkey (2020)
Keywords: GDP, Forecasting, MIDAS, Polynomial form

Probability density forecasts for natural gas demand in China: Do mixed-frequency dynamic factors matter?,
Lili Ding, Zhongchao Zhao and Lei Wang, in Applied Energy (2022)
Keywords: Natural gas demand; Mixed-frequency factors; MIDAS regression; Probability density forecast; Non-parametric estimation;

Probability density forecasts for steam coal prices in China: The role of high-frequency factors,
Lili Ding, Zhongchao Zhao and Meng Han, in Energy (2021)
Keywords: Steam coal prices; High-frequency factor; MIDAS regression; XGBoost; Probability density forecast;

A Real-Time GARCH-MIDAS model,
Xinyu Wu, An Zhao and Tengfei Cheng, in Finance Research Letters (2023)
Keywords: Real-Time GARCH-MIDAS; Persistence; Current return information; Volatility of volatility; Volatility forecasting;

A realized EGARCH-MIDAS model with higher moments,
Xinyu Wu and Haibin Xie, in Finance Research Letters (2021)
Keywords: Realized EGARCH; Realized kernel; MIDAS; Volatility persistence; Higher moments;

On the use of high frequency measures of volatility in MIDAS regressions,
Elena Andreou, in Journal of Econometrics (2016)
Keywords: MIDAS regression model; High-frequency volatility estimators; Bias; Efficiency;

Bayesian MIDAS penalized regressions: Estimation, selection, and prediction,
Matteo Mogliani and Anna Simoni, in Journal of Econometrics (2021)
Keywords: Bayesian MIDAS regressions; Penalized regressions; Predictive distribution; Forecasting; Posterior contraction;

On the use of high frequency measures of volatility in MIDAS regressions,
Elena Andreou, from C.E.P.R. Discussion Papers (2016)
Keywords: Midas regression model; High-frequency volatility estimators; Bias; Efficiency

MIDAS Regressions: Further Results and New Directions,
Eric Ghysels, Arthur Sinko and Rossen Valkanov, in Econometric Reviews (2007)
Keywords: Microstructure noise, Nonlinear MIDAS, Risk, Tick-by-tick applications, Volatility,

A reality check on the GARCH-MIDAS volatility models,
Nader Virk, Farrukh Javed and Basel Awartani, from Örebro University, School of Business (2021)
Keywords: GARCH-MIDAS models; component variance forecasts; macro-variables; data snooping

A comparison of using MIDAS and LSTM models for GDP nowcasting,
Iva Glišic, from National Bank of Serbia (2024)
Keywords: GDP, nowcasting, MIDAS, neural networks, high-frequency indicators

On the use of high frequency measures of volatility in MIDAS regressions,
Elena Andreou, from University of Cyprus Department of Economics (2016)
Keywords: MIDAS regression model, high-frequency volatility estimators, bias, efficiency.

Bayesian MIDAS penalized regressions: estimation, selection, and prediction,
Matteo Mogliani, from Banque de France (2019)
Keywords: MIDAS regressions, penalized regressions, variable selection, forecasting, Bayesian estimation.

Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,
Hoang Nguyen and Audrone Virbickaite, in Energy Economics (2023)
Keywords: Copula; Hedging; MIDAS; Portfolio; SMC; Stock-oil;

GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets,
Can-Zhong Yao and Min-Jian Li, in The North American Journal of Economics and Finance (2023)
Keywords: GARCH-MIDAS; Copula; GAS; Financial risk; CoVaR;

Estimating MIDAS regressions via OLS with polynomial parameter profiling,
Eric Ghysels and Hang Qian, in Econometrics and Statistics (2019)
Keywords: Mixed frequency data; MIDAS regressions; Profile likelihood;

Estimating the Impact of Oil Price Volatility on the Ecuadorian Economy: A MIDAS Approach,
Freddy Ronalde Camacho-Villagomez, Yanina Shegia Bajaña-Villagomez and Andrea Johanna Rodríguez-Bustos, in International Journal of Energy Economics and Policy (2024)
Keywords: MIDAS, Ecuador, Volatility, Oil Price, Fiscal Policy

Does geopolitical uncertainty affect corporate financing? Evidence from MIDAS regression,
Joye Khoo and Cheung, Adrian (Wai Kong), in Global Finance Journal (2021)
Keywords: Geopolitical uncertainty; Market leverage; Debt maturity; MIDAS;

Oil shocks and volatility of green investments: GARCH-MIDAS analyses,
Olaoluwa Yaya, Ahamuefula Ogbonna and Xuan Vinh Vo, from University Library of Munich, Germany (2022)
Keywords: GARCH-MIDAS; green bond; oil shocks; asymmetry

Oil shocks and volatility of green investments: GARCH-MIDAS analyses,
Olaoluwa Yaya, Ahamuefula Ogbonna and Xuan Vinh Vo, in Resources Policy (2022)
Keywords: GARCH-MIDAS; Green bond; Oil shocks; Asymmetry;

On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS,
Alessandra Amendola, Vincenzo Candila, Fabrizio Cipollini and Giampiero Gallo, from Springer (2021)
Keywords: Realized volatility, Multiplicative error model, MIDAS

Deterministic Effects of Volatility on Mixed Frequency GARCH in Means MIDAS Model: Evidence from Turkey,
Fehmi Özsoy and Nükhet Doðan, in International Econometric Review (IER) (2022)
Keywords: MIDAS, GARCH-MIDAS, Long Run, Short Run, Deterministic Effects

Predicting the Country Commodity Imports Using Mixed Frequency Data Sampling (MIDAS) Model,
Vida Varahrami and Samaneh Javaherdehi, in Iranian Economic Review (IER) (2018)
Keywords: Imports, Models with Different Frequencies, MIDAS.

A MIDAS approach to modeling first and second moment dynamics,
Davide Pettenuzzo, Allan Timmermann and Rossen Valkanov, in Journal of Econometrics (2016)
Keywords: MIDAS regressions; Bayesian estimation; Stochastic volatility; Out-of-sample forecasts; Inflation forecasts; Industrial production;

Oil-growth nexus in Nigeria: An ADL-MIDAS approach,
Mohammed M. Tumala, Afees Salisu and Ngozi Atoi, in Resources Policy (2022)
Keywords: Oil price; Economic growth; ADL-MIDAS; Oil price asymmetry; Macroeconomic/control variables;

Estimates of quarterly GDP growth using MIDAS regressions,
Sailesh Bhaghoe, Gavin Ooft and Philip Hans Franses, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2019)
Keywords: Quarterly real GDP growth, Disaggregation, MIDAS Regression Models, Monthly indicator of economic activity

A MIDAS multinomial logit model with applications for bond ratings,
Cuixia Jiang, Yubing Nie and Qifa Xu, in Global Finance Journal (2023)
Keywords: Bond ratings; Credit evaluation; MIDAS-MLogit model; Mixed-frequency; Multi-classification prediction;

Shaping the manufacturing industry performance: MIDAS approach,
Ibrahim Turhan, Ahmet Sensoy and Erk Hacihasanoglu, in Chaos, Solitons & Fractals (2015)
Keywords: Mixed data sampling (MIDAS); Forecasting; Capacity utilization rate; Exchange rate; Interest rate;

Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model,
O-Chia Chuang and Chenxu Yang, in Energies (2022)
Keywords: crude oil market; volatility forecast; GARCH-MIDAS model; variable selection

Another look at the energy-growth nexus: New insights from MIDAS regressions,
Afees Salisu and Ahamuefula Ogbonna, in Energy (2019)
Keywords: Energy consumption; Growth; ADL-MIDAS; Asymmetries; Autoregressive models; Forecast evaluation;

Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models,
Dexiang Mei, Feng Ma, Yin Liao and Lu Wang, in Energy Economics (2020)
Keywords: Oil futures; Realized volatility; Geopolitical risk uncertainty; MIDAS;

Forecasting the Consumer Confidence Index with tree-based MIDAS regressions,
Yue Qiu, in Economic Modelling (2020)
Keywords: Consumer confidence forecast; Twitter sentiment; MIDAS regression; Machine learning;

Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach,
Afees Salisu, Ahamuefula Ogbonna, Lukman Lasisi and Abeeb Olaniran, in The North American Journal of Economics and Finance (2022)
Keywords: Geopolitical risk; Stock market volatility; Emerging markets; GARCH-MIDAS;

Mixed-frequency Growth-at-Risk with the MIDAS-QR method: Evidence from China,
Qifa Xu, Mengnan Xu, Cuixia Jiang and Weizhong Fu, in Economic Systems (2023)
Keywords: Growth-at-Risk; MIDAS-QR; Skewed t-distribution; Conditional density;

MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area,
Vladimir N. Kuzin, Massimiliano Marcellino and Christian Schumacher, from Deutsche Bundesbank (2009)
Keywords: nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS

Impact Evaluation of an Emerging European Health Project – the MIDAS Model,
Connolly Justin, Staines Anthony, Connolly Regina, Davis Paul and Boilson Andrew, in Business Systems Research (2020)
Keywords: MIDAS, health-based project, decision support systems, data mining

Application of Markov-Switching MIDAS models to nowcasting of GDP and its components,
Ivan Stankevich, in Applied Econometrics (2023)
Keywords: nowcasting; Russian GDP; forecasting; Markov-Switching models; MIDAS models.

Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach,
Afees Salisu and Rangan Gupta, in Global Finance Journal (2021)
Keywords: Oil shocks; Stock market volatility; BRICS; GARCH–MIDAS;

MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area,
Vladimir Kuzin, Massimiliano Marcellino and Christian Schumacher, in International Journal of Forecasting (2011)
Keywords: Nowcasting Mixed-frequency data Mixed-frequency VAR MIDAS

MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area,
Vladimir Kuzin, Massimiliano Marcellino and Christian Schumacher, in International Journal of Forecasting (2011)
Keywords: Nowcasting; Mixed-frequency data; Mixed-frequency VAR; MIDAS;

Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach,
Emiliano Magrini and Ayca Donmez, from Joint Research Centre (2013)
Keywords: Price Volatility; Agricultural Commodities; GARCH-MIDAS; macroeconomic indicators; speculation

Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,
Hoang Nguyen and Audrone Virbickaite, from Örebro University, School of Business (2022)
Keywords: Stock-Oil; Copula; MIDAS; SMC; Portfolio allocation; Hedging

Oil Shocks and Stock Market Volatility of the BRICS: A GARCH-MIDAS Approach,
Afees Salisu and Rangan Gupta, from University of Pretoria, Department of Economics (2019)
Keywords: Oil shocks, Stock market volatility, BRICS, GARCH-MIDAS

Geopolitical Risks and Oil Returns Volatility: A GARCH-MIDAS Approach,
Afees Salisu, Ahamuefula Ogbonna and Rangan Gupta, from University of Pretoria, Department of Economics (2024)
Keywords: Geopolitical risks, Oil price volatility, GARCH-MIDAS, Forecast evaluation

Energy Market Uncertainties and Gold Return Volatility: A GARCH-MIDAS Approach,
Afees Salisu, Ahamuefula Ogbonna, Rangan Gupta and Sisa Shiba, from University of Pretoria, Department of Economics (2024)
Keywords: Energy Market Uncertainties, Gold Return Volatility, GARCH-MIDAS, Forecast Evaluation

MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area,
Vladimir Kuzin, Massimiliano Marcellino and Christian Schumacher, from European University Institute (2009)
Keywords: nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS

Improving the Predictive ability of oil for inflation: An ADL-MIDAS Approach,
Afees Salisu and Ahamuefula Ogbonna, from Centre for Econometric and Allied Research, University of Ibadan (2017)
Keywords: OECD countries, ADL-MIDAS, Inflation forecasts, Forecast evaluation

Is Monetary Policy a Driver of Cryptocurrencies? Evidence from a Structural Break GARCH-MIDAS Approach,
Md Samsul Alam, Alessandra Amendola, Vincenzo Candila and Shahram Dehghan Jabarabadi, in Econometrics (2024)
Keywords: structural break; GARCH-MIDAS; cryptocurrency; monetary policy

Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model,
Cuixia Jiang, Yuqian Li, Qifa Xu and Yezheng Liu, in International Review of Economics & Finance (2021)
Keywords: Risk spillovers; CoVaR; GARCH; MIDAS; Vine copula;

Crude oil volatility forecasting: Insights from a novel time-varying parameter GARCH-MIDAS model,
Lijuan Peng, Chao Liang, Baoying Yang and Lu Wang, in International Review of Economics & Finance (2024)
Keywords: Crude oil price; GARCH-MIDAS; Volatility forecasting;

The information content of inflation swap rates for the long-term inflation expectations of professionals: Evidence from a MIDAS analysis,
Ahmed Hanoma and Dieter Nautz, from Free University Berlin, School of Business & Economics (2018)
Keywords: Inflation Expectations Dynamics, Expectations Anchoring, MIDAS

Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession,
Laurent Ferrara and Clément Marsilli, from HAL (2012)
Keywords: Great Recession; Forecasting; Financial variables; MIDAS approach