Sökning: "MIDAS regression"

Hittade 5 uppsatser innehållade orden MIDAS regression.

1. 1. Nowcasting U.S. Inflation: The Role of Online Retail Prices

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Edvin Ahlander; Eric Axdorph; [2021]
   Nyckelord :Inflation; Nowcasting; Mixed-Frequency Models; Online Retail Prices;

   Sammanfattning : 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. LÄS MER

3. 2. COMPARING THE FORECASTING PERFORMANCE OF VAR, BVAR AND U-MIDAS

   Magister-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Alessio Belloni; [2017]
   Nyckelord :;

   Sammanfattning : ThispaperaimstocomparetheforecastingperformanceofthewidelyusedVARandBayesian VAR model to the unrestricted MIDAS regression. The models are tested on a real-time macroeconomic data set ranging from 2000 to 2015. LÄS MER

4. 3. A Comparison of GARCH-class Models and MIDAS Regression with Applications in Volatility Prediction and Value at Risk Estimation

   Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Asmir Prepic; Måns Unosson; [2014]
   Nyckelord :;

   Sammanfattning : 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. LÄS MER

5. 4. FORECASTING WITH MIXED FREQUENCY DATA:MIDAS VERSUS STATE SPACE DYNAMIC FACTOR MODEL : AN APPLICATION TO FORECASTING SWEDISH GDP GROWTH

   Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

   Författare :Yu Chen; [2013]
   Nyckelord :mixed frequency data; MIDAS regression; state space model; dynamic factor model; Swedish GDP growth;

   Sammanfattning : 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. LÄS MER

7. 5. MIDAS Predicting Volatility at Different Frequencies

   Master-uppsats, Statistiska institutionen

   Författare :Wensi Shi; [2010]
   Nyckelord :Realized volatility; MIDAS regression; realized power; absolute return; intra-day data;

   Sammanfattning : 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. LÄS MER