MIDAS regressions with time-varying parameters: An application to corporate bond spreads and GDP in the Euro area
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Citations
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Cited by:
- Marie Bessec, 2019.
"Revisiting the transitional dynamics of business cycle phases with mixed-frequency data,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(7), pages 711-732, August.
- Marie Bessec, 2016. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Working Papers hal-01358595, HAL.
- Marie Bessec, 2019. "Revisiting the transitional dynamics of business-cycle phases with mixed-frequency data," Post-Print hal-02181552, HAL.
- Bonino-Gayoso, Nicolás & García-Hiernaux, Alfredo, 2019. "TF-MIDAS: a new mixed-frequency model to forecast macroeconomic variables," MPRA Paper 93366, University Library of Munich, Germany.
- Jacopo Cimadomo & Antonello D'Agostino, 2016.
"Combining Time Variation and Mixed Frequencies: an Analysis of Government Spending Multipliers in Italy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1276-1290, November.
- D'Agostino, Antonello & Cimadomo, Jacopo, 2015. "Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy," Working Paper Series 1856, European Central Bank.
- Antonello D’Agostino & Jacopo Cimadomo, 2015. "Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy," Working Papers 7, European Stability Mechanism.
- Götz, Thomas B. & Hauzenberger, Klemens, 2018. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers 40/2018, Deutsche Bundesbank.
- Stefan Neuwirth, 2017. "Time-varying mixed frequency forecasting: A real-time experiment," KOF Working papers 17-430, KOF Swiss Economic Institute, ETH Zurich.
- Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.
- repec:dau:papers:123456789/15246 is not listed on IDEAS
- Deschamps, Bruno & Ioannidis, Christos & Ka, Kook, 2020. "High-frequency credit spread information and macroeconomic forecast revision," International Journal of Forecasting, Elsevier, vol. 36(2), pages 358-372.
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More about this item
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-02-22 (Econometrics)
- NEP-EEC-2015-02-22 (European Economics)
- NEP-MAC-2015-02-22 (Macroeconomics)
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