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Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach

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Cited by:

  1. Klaus S. Friesenbichler & Agnes Kuegler & Andreas Reinstaller, 2021. "Does value chain integration dampen producer price developments? Evidence from the European Union," The World Economy, Wiley Blackwell, vol. 44(1), pages 89-106, January.
  2. El-Shagi, Makram & Schweinitz, Gregor von, 2018. "The joint dynamics of sovereign ratings and government bond yields," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 198-218.
  3. Edward S. Knotek & Saeed Zaman, 2024. "Nowcasting Inflation," Working Papers 24-06, Federal Reserve Bank of Cleveland.
  4. Marina Diakonova & Luis Molina & Hannes Mueller & Javier J. Pérez & Cristopher Rauh, 2022. "The information content of conflict, social unrest and policy uncertainty measures for macroeconomic forecasting," Working Papers 2232, Banco de España.
  5. Wang, Shixuan & Gupta, Rangan & Zhang, Yue-Jun, 2021. "Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data," Finance Research Letters, Elsevier, vol. 43(C).
  6. Tesi Aliaj & Milos Ciganovic & Massimiliano Tancioni, 2023. "Nowcasting inflation with Lasso‐regularized vector autoregressions and mixed frequency data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 464-480, April.
  7. Qian Chen & Xiang Gao & Shan Xie & Li Sun & Shuairu Tian & Shigeyuki Hamori, 2021. "On the Predictability of China Macro Indicator with Carbon Emissions Trading," Energies, MDPI, vol. 14(5), pages 1-24, February.
  8. Yeonwoo Rho & Yun Liu & Hie Joo Ahn, 2020. "Revealing Cluster Structures Based on Mixed Sampling Frequencies," Papers 2004.09770, arXiv.org, revised Feb 2021.
  9. Talha Omer & Kristofer Månsson & Pär Sjölander & B. M. Golam Kibria, 2024. "Improved Breitung and Roling estimator for mixed-frequency models with application to forecasting inflation rates," Statistical Papers, Springer, vol. 65(5), pages 3303-3325, July.
  10. Sarun Kamolthip, 2021. "Macroeconomic Forecasting with LSTM and Mixed Frequency Time Series Data," PIER Discussion Papers 165, Puey Ungphakorn Institute for Economic Research.
  11. Friesenbichler, Klaus, 2018. "Inflation and Broadband Revisited: Evidence from an OECD Panel. A replication study of Yi and Choi (Journal of Policy Modeling, 2005)," International Journal for Re-Views in Empirical Economics (IREE), ZBW - Leibniz Information Centre for Economics, vol. 2(2018-1), pages 1-21.
  12. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
  13. El-Shagi, Makram, 2016. "Much ado about nothing: Sovereign ratings and government bond yields in the OECD," IWH Discussion Papers 22/2016, Halle Institute for Economic Research (IWH).
  14. Miller, J. Isaac, 2018. "Simple robust tests for the specification of high-frequency predictors of a low-frequency series," Econometrics and Statistics, Elsevier, vol. 5(C), pages 45-66.
  15. Philip Hans Franses, 2019. "On inflation expectations in the NKPC model," Empirical Economics, Springer, vol. 57(6), pages 1853-1864, December.
  16. Ooft, Gavin & Bhaghoe, Sailesh & Hans Franses, Philip, 2021. "Forecasting annual inflation in Suriname," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  17. Tretyakov, Dmitriy & Fokin, Nikita, 2020. "Помогают Ли Высокочастотные Данные В Прогнозировании Российской Инфляции? [Does the high-frequency data is helpful for forecasting Russian inflation?]," MPRA Paper 109556, University Library of Munich, Germany.
  18. Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2023. "Nowcasting consumer price inflation using high-frequency scanner data: Evidence from Germany," Discussion Papers 34/2023, Deutsche Bundesbank.
  19. Simon Lineu Umbach, 2020. "Forecasting with supervised factor models," Empirical Economics, Springer, vol. 58(1), pages 169-190, January.
  20. Julián Alonso Cárdenas-Cárdenas & Edgar Caicedo-García & Eliana R. González Molano, 2020. "Estimación de la variación del precio de los alimentos con modelos de frecuencias mixtas," Borradores de Economia 1109, Banco de la Republica de Colombia.
  21. Qifa Xu & Zezhou Wang & Cuixia Jiang & Yezheng Liu, 2023. "Deep learning on mixed frequency data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2099-2120, December.
  22. Richard Schnorrenberger & Aishameriane Schmidt & Guilherme Valle Moura, 2024. "Harnessing Machine Learning for Real-Time Inflation Nowcasting," Working Papers 806, DNB.
  23. Wenfeng Ma & Yuxuan Hong & Yuping Song, 2024. "On Stock Volatility Forecasting under Mixed-Frequency Data Based on Hybrid RR-MIDAS and CNN-LSTM Models," Mathematics, MDPI, vol. 12(10), pages 1-21, May.
  24. Hie Joo Ahn & Yun Liu & Yeonwoo Rho, 2020. "Revealing Cluster Structures Based on Mixed Sampling Frequencies," Finance and Economics Discussion Series 2020-082, Board of Governors of the Federal Reserve System (U.S.).
  25. Niko Hauzenberger & Massimiliano Marcellino & Michael Pfarrhofer & Anna Stelzer, 2024. "Nowcasting with Mixed Frequency Data Using Gaussian Processes," Papers 2402.10574, arXiv.org, revised Sep 2024.
  26. Makram El-Shagi & Lunan Jiang, 2023. "How the PBoC´s new MLF affects the yield curve," CFDS Discussion Paper Series 2023/1, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
  27. Nikolaos Antonakakis & David Gabauer & Rangan Gupta, 2018. "International Monetary Policy Spillovers: Evidence from a TVP-VAR," Working Papers 201806, University of Pretoria, Department of Economics.
  28. 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.
  29. Selma Toker & Nimet Özbay & Kristofer Månsson, 2022. "Mixed data sampling regression: Parameter selection of smoothed least squares estimator," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 718-751, July.
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