Working Paper Series No 3 / 2014 Density forecasts with MIDAS models

@inproceedings{Aastveit2014WorkingPS,
  title={Working Paper Series No 3 / 2014 Density forecasts with MIDAS models},
  author={Knut Are Aastveit and Claudia Foroni and Francesco Ravazzolo},
  year={2014}
}
In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions with and without an autoregressive component. First, we compare the forecasting performance of the different MIDAS models in Monte Carlo simulation experiments. We find that the results in terms of point and density forecasts are coherent. Moreover, the results do not clearly… CONTINUE READING

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