Reverse restricted MIDAS model with application to US interest rate forecasts
| Autor: | Fang Sun, Cuixia Jiang, Xue Huang, Xingxuan Zhuo, Qifa Xu |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
021103 operations research media_common.quotation_subject 0211 other engineering and technologies Frequency data 02 engineering and technology 01 natural sciences Interest rate 010104 statistics & probability Modeling and Simulation Statistics 0101 mathematics media_common Mathematics |
| Zdroj: | Communications in Statistics - Simulation and Computation. 50:462-482 |
| ISSN: | 1532-4141 0361-0918 |
| DOI: | 10.1080/03610918.2018.1563148 |
| Popis: | We introduce a novel reverse restricted MIDAS (RR-MIDAS) model, which allows us to forecast high frequency data using low frequency information. The RR-MIDAS model is applicable to more general mix... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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