Browsing BI Research Centre's Series by Subject "Mixed Data Sampling, Density Forecasts, Nowcasting"
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Density Forecasts with MIDAS Models
(CAMP Working Paper Series;3/2014, Working paper, 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 ...