Search Results

Markov-Switching Mixed-Frequency VAR Models,
Massimiliano Marcellino and Claudia Foroni, from C.E.P.R. Discussion Papers (2014)
Keywords: Fore-; Markov-switching; Midas; Mixed-frequency var; Nowcasting

Markov-switching mixed-frequency VAR models,
Claudia Foroni, Pierre Guérin and Massimiliano Marcellino, in International Journal of Forecasting (2015)
Keywords: Markov-switching; MIDAS; Mixed-frequency VAR; Nowcasting; Forecasting;

Forecasting tourist arrivals: Google Trends meets mixed-frequency data,
Tomas Havranek and Ayaz Zeynalov, in Tourism Economics (2021)
Keywords: forecasting; Google Trends; mixed-frequency data; tourism

MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area,
Christian Schumacher, Massimiliano Marcellino and Vladimir Kuzin, from C.E.P.R. Discussion Papers (2009)
Keywords: Euro area growth; Midas; Mixed-frequency data; Mixed-frequency var; Nowcasting

Are the leading indicators really leading? Evidence from mixed-frequency spillover approach,
Yu Wei, Zhuo Wang, Xiaorui Zhou, Yue Shang and Lin Ren, in Finance Research Letters (2024)
Keywords: Leading indicators; Financial markets; Mixed-frequency spillover; Common-frequency spillover;

A new approach for estimating VAR systems in the mixed-frequency case,
Lukas Koelbl and Manfred Deistler, in Statistical Papers (2020)
Keywords: High-frequency VAR, Mixed-frequency data, Estimation procedure

Identifying high-frequency shocks with Bayesian mixed-frequency VARs,
Alessia Paccagnini and Fabio Parla, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2021)
Keywords: Bayesian mixed-frequency VAR, MIDAS, uncertainty shocks, macro-financial linkages

Mixed-Frequency Predictive Regressions with Parameter Learning,
Markus Leippold and Hanlin Yang, from Swiss Finance Institute (2023)
Keywords: Mixed-frequency data, predictive regressions, stochastic volatility, consumption-wealth ratio, parameter learning, portfolio optimization

The Effectiveness of China’s Monetary Policy: Based on the Mixed-Frequency Data,
Deqing Wang, Yinqiu Song, Hongyan Zhang and Shengjie Pan, in Asian Economic and Financial Review (2020)
Keywords: Monetary policy, China, Effectiveness, New normal, Mixed-frequency, FAVAR, Bayesian.

Forecasting GDP growth using mixed-frequency models with switching regimes,
Fady Barsoum and Sandra Stankiewicz, in International Journal of Forecasting (2015)
Keywords: Markov-switching; Business cycle; Mixed-frequency data analysis; Forecasting;

Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach,
Nuttanan Wichitaksorn, in Journal of Asian Economics (2022)
Keywords: Thai macroeconomic data; Mixed-frequency; Forecasting; Vector autoregression; COVID-19;

The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns,
Ruina Wang and Jinfang Li, in The North American Journal of Economics and Finance (2021)
Keywords: Individual stock investor sentiment; Mixed-frequency; Influence power; Forecasting;

Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy,
Antonello D'Agostino and Jacopo Cimadomo, from European Central Bank (2015)
Keywords: government spending multiplier, mixed-frequency data, time variation

A data-driven newsvendor problem: A high-dimensional and mixed-frequency method,
Cheng-Hu Yang, Hai-Tang Wang, Xin Ma and Srinivas Talluri, in International Journal of Production Economics (2023)
Keywords: Data-driven; Newsvendor; Machine learning; Mixed-frequency data; Variables selection;

Analyzing and Forecasting Thai Macroeconomic Data using Mixed-Frequency Approach,
Nuttanan Wichitaksorn, from Puey Ungphakorn Institute for Economic Research (2020)
Keywords: Thai Macroeconomic Data; Mixed-frequency; Forecasting; Vector Autoregression; COVID-19

TF-MIDAS: a new mixed-frequency model to forecast macroeconomic variables,
Nicolás Bonino-Gayoso and Alfredo Garcia-Hiernaux, from University Library of Munich, Germany (2019)
Keywords: Mixed-Frequency models, TF-MIDAS, U-MIDAS, Nowcasting, Forecasting

Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis,
Hossein Hassani, António Rua, Emmanuel Sirimal Silva and Dimitrios Thomakos, in International Journal of Forecasting (2019)
Keywords: Multivariate SSA; Mixed-frequency; GDP; Industrial production; Forecasting;

Forecasting Czech GDP Using Mixed-Frequency Data Models,
Michal Franta, David Havrlant and Marek Rusnák, from Czech National Bank (2014)
Keywords: GDP, mixed-frequency data, real-time data, short-term forecasting

Forecasting Czech GDP Using Mixed-Frequency Data Models,
Michal Franta, David Havrlant and Marek Rusnák, in Journal of Business Cycle Research (2016)
Keywords: Short-term forecasting, Real-time data, GDP, Mixed-frequency data

Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes,
Fady Barsoum and Sandra Stankiewicz, from Department of Economics, University of Konstanz (2013)
Keywords: Markov-switching, Business cycle, Mixed-frequency data analysis, Forecasting

Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model,
Fady Barsoum, from Department of Economics, University of Konstanz (2015)
Keywords: Mixed-frequency, Bayesian estimation, Bootstrapping, Density forecasts, Nowcasting

Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model,
Massimiliano Marcellino, Claudia Foroni, Roberto Casarin and Francesco Ravazzolo, from C.E.P.R. Discussion Papers (2017)
Keywords: Dynamic panel model; Mixed-frequency; Markov switching; Bayesian inference; Mcmc

Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters,
Markus Heinrich and Magnus Reif, from CESifo (2020)
Keywords: time-varying parameters, forecasting, nowcasting, mixed-frequency models, Bayesian methods

Nowcasting real GDP in Tunisia using large datasets and mixed-frequency models,
Hagher Ben Rhomdhane and Brahim Mehdi Benlallouna, from Economics Section, The Graduate Institute of International Studies (2022)
Keywords: Mixed-Frequency Data Sampling; Nowcasting; short-term forecasting

Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy,
Antonello D’Agostino and Jacopo Cimadomo, from European Stability Mechanism (2015)
Keywords: Time variation, mixed-frequency data, government spending multiplier

Nowcasting causality in mixed frequency vector autoregressive models,
Thomas Götz and Alain Hecq, in Economics Letters (2014)
Keywords: Instantaneous causality; Granger causality; Mixed-frequency VAR; Mixed-frequency regression;

Identifying High-Frequency Shockswith Bayesian Mixed-Frequency VARs,
Alessia Paccagnini and Fabio Parla, from Bank of Lithuania (2021)
Keywords: Bayesian mixed-frequency VAR, MIDAS, Monte Carlo, uncertainty shocks, macro-financial linkages

Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures,
J. Miller, from Department of Economics, University of Missouri (2012)
Keywords: cointegration, mixed-frequency time series, mixed data sampling (MiDaS), autoregressive distributed lag, GDP forecasts

Reservoir computing for macroeconomic forecasting with mixed-frequency data,
Giovanni Ballarin, Petros Dellaportas, Lyudmila Grigoryeva, Marcel Hirt, Sophie van Huellen and Juan-Pablo Ortega, in International Journal of Forecasting (2024)
Keywords: Reservoir computing; Echo state networks; Forecasting; U.S. output growth; GDP; Mixed-frequency data; Time series; Multi-Frequency Echo State Network; MIDAS; DFM;

Mixed-Frequency Vector Autoregressive Models☆This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply,
Claudia Foroni, Eric Ghysels and Massimiliano Marcellino, from Emerald Group Publishing Limited (2013)
Keywords: Mixed-frequency data, mixed-frequency VAR, MIDAS, nowcasting, forecasting, E37, C53

Smoothing and forecasting mixed-frequency time series with vector exponential smoothing models,
Byeongchan Seong, in Economic Modelling (2020)
Keywords: Mixed-frequency data; Exponential smoothing methods; Innovational state space models; Temporal aggregation; Interpolation;

The impact of mixed-frequency geopolitical risk on stock market returns,
Jianlei Yang and Chunpeng Yang, in Economic Analysis and Policy (2021)
Keywords: Geopolitical risk; Mixed-frequency GPR; Stock market returns; Stock return forecast; MIDAS regression model;

Particle filtering, learning, and smoothing for mixed-frequency state-space models,
Markus Leippold and Hanlin Yang, in Econometrics and Statistics (2019)
Keywords: Mixed-frequency; State-space models; Particle filtering; Backward smoothing; Stochastic volatility; Return predictability;

Forecasting stock index futures returns with mixed-frequency sentiment,
Bin Gao and Chunpeng Yang, in International Review of Economics & Finance (2017)
Keywords: Stock index futures sentiment; Stock index sentiment; Mixed-frequency; MIDAS model;

The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting,
Andrea Giusto and İşcan Talan B., in Studies in Nonlinear Dynamics & Econometrics (2018)
Keywords: forecasts confidence intervals, mixed-frequency data, real-time forecasting, rescaled VAR model

Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting,
Gary Koop, Gary Koop, Stuart McIntyre, James Mitchell, Aubrey Poon and Ping Wu, from Federal Reserve Bank of Cleveland (2023)
Keywords: Regional data; Mixed-frequency data; Missing data; Nowcasting; Factors; Bayesian methods; Real-time data; Vector autoregressions

Business Cycle Turning Points: Mixed-Frequency Data with Structural Breaks,
Konstantin Kholodilin and Yao Wension Vincent, from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2004)
Keywords: Volatility; Structural break; Composite coincident indicator; Dynamic factor model; Markov switching; Mixed-frequency data

Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting,
Gary Koop, Stuart McIntyre, James Mitchell, Aubrey Poon and Ping Wu, from University of Strathclyde Business School, Department of Economics (2023)
Keywords: Regional data, Mixed-frequency data, Missing data, Nowcasting, Factors, Bayesian methods, Real-time data, Vector autoregressions

Relationship between the news-based categorical economic policy uncertainty and US GDP: A mixed-frequency Granger-causality analysis,
Yanran Hong, Pengfei Xu, Lu Wang and Zhigang Pan, in Finance Research Letters (2022)
Keywords: Categorical economic policy uncertainty; US GDP; Mixed-frequency; Granger causality;

Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR,
Mingyang Li and Linlin Niu, in Economics Letters (2021)
Keywords: Government spending multiplier; Inside lag; Mixed-frequency identification; SVAR model;

A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns,
Burak Alparslan Eroğlu, Deniz İkizlerli and Numan Ülkü, in Empirical Economics (2024)
Keywords: Mixed-frequency VAR, Foreign investor trading, Intraday return

Effect of electricity policy uncertainty and carbon emission prices on electricity demand in China based on mixed-frequency data models,
Wanbo Lu, Qibo Liu and Jie Wang, in Utilities Policy (2024)
Keywords: Electricity demand; Policy uncertainty; Mixed-frequency data models;

Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP,
Matteo Iacopini, Aubrey Poon, Luca Rossini and Dan Zhu, in Journal of Economic Dynamics and Control (2023)
Keywords: Bayesian inference; Mixed-frequency; Multivariate quantile regression; Nowcasting; VAR;

A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT,
Afees Salisu, Rangan Gupta and Riza Demirer, in Annals of Financial Economics (AFE) (2022)
Keywords: Infectious diseases related uncertainty, output growth, forecast, mixed-frequency

Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR,
Mingyang Li and Linlin Niu, from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2021)
Keywords: government spending multiplier; inside lag; mixed-frequency identification; SVAR model.

A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment,
Afees Salisu, Rangan Gupta and Riza Demirer, from University of Pretoria, Department of Economics (2020)
Keywords: Infectious Diseases Related Uncertainty, Output Growth, Forecast, Mixed-Frequency

Testing for deterministic seasonality in mixed-frequency VARs,
Tomás del Barrio Castro and Alain Hecq, in Economics Letters (2016)
Keywords: Deterministic seasonal features; Mixed frequency VARs;

Testing for Deterministic Seasonality in Mixed-Frequency VARs,
Tomás del Barrio Castro and Alain Hecq, from Universitat de les Illes Balears, Departament d'Economía Aplicada (2016)
Keywords: deterministic seasonal features, mixed frequency VARs

Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series,
J. Miller, from Department of Economics, University of Missouri (2012)
Keywords: cointegration, canonical cointegrating regression, temporal aggregation, mixed-frequency series, mixed data sampling, price elasticity of gasoline demand

A mixed-frequency smooth measure for business conditions,
Yi-Ting Chen, in Empirical Economics (2021)
Keywords: Business conditions, Coincident indices, Mixed frequency, Smooth measure

Bayesian Inference for the Mixed-Frequency VAR Model,
Paul Viefers, from DIW Berlin, German Institute for Economic Research (2011)
Keywords: Markov mixture models, Label switching, Bayesian VAR, Mixed frequencies

Forecasting Tourist Arrivals: Google Trends Meets Mixed Frequency Data,
Tomas Havranek and Ayaz Zeynalov, from University Library of Munich, Germany (2018)
Keywords: Google trends, mixed-frequency data, forecasting, tourism

Forecasting Tourist Arrivals with Google Trends and Mixed Frequency Data,
Tomas Havranek and Ayaz Zeynalov, from ZBW - Leibniz Information Centre for Economics (2018)
Keywords: Google trends, mixed-frequency data, forecasting, tourism

Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model,
Wenming Shi, Yuting Gong, Jingbo Yin, Son Nguyen and Qian Liu, in Energy (2022)
Keywords: Shipping; Mixed-frequency data sampling; Nonlinearity; Asymmetric tail dependence structure; Operational decisions;

VARMA Models with Single- or Mixed-Frequency Data: New Conditions for Extended Yule–Walker Identification,
Celina Pestano-Gabino, Concepción González-Concepción and María Candelaria Gil-Fariña, in Mathematics (2024)
Keywords: VARMA model; mixed-frequency data; identification; extended Yule–Walker method; Hankel matrix; autocovariance

Fitting and forecasting yield curves with a mixed-frequency affine model: Evidence from China,
Yuhuang Shang and Tingguo Zheng, in Economic Modelling (2018)
Keywords: Yield curve; Forecast; Macro factor; State space model; Mixed-frequency affine model;

Probability density forecasts for natural gas demand in China: Do mixed-frequency dynamic factors matter?,
Lili Ding, Zhongchao Zhao and Lei Wang, in Applied Energy (2022)
Keywords: Natural gas demand; Mixed-frequency factors; MIDAS regression; Probability density forecast; Non-parametric estimation;

Effectiveness of Principal-Component-Based Mixed-Frequency Error Correction Model in Predicting Gross Domestic Product,
Yunxu Wang, Chi-Wei Su, Yuchen Zhang, Oana-Ramona Lobonţ and Qin Meng, in Mathematics (2023)
Keywords: mixed-frequency data; principal component analysis; error correction model; predictive effectiveness

Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach,
Markus Heinrich, from ZBW - Leibniz Information Centre for Economics (2020)
Keywords: Threshold VAR, Stochastic Volatility, Forecasting, Mixed-frequency Models, Business Cycle, Bayesian Methods

Novel wind power ensemble forecasting system based on mixed-frequency modeling and interpretable base model selection strategy,
Xiaodi Wang, Yan Hao and Wendong Yang, in Energy (2024)
Keywords: Wind power forecasting; Mixed-frequency modeling; Model selection strategy; Ensemble forecasting;

Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data,
Daniel Borup, David E. Rapach and Erik Christian Schütte, in International Journal of Forecasting (2023)
Keywords: Mixed-frequency data; LASSO; Elastic net; Neural network; Unemployment insurance; Internet search; Variable importance;

Spanish GDP short-term point and density forecasting using a mixed-frequency dynamic factor model,
Diego Fresoli, in SERIEs: Journal of the Spanish Economic Association (2024)
Keywords: Short-term gross domestic product (GDP) point forecast, Density forecast, Mixed-frequency dynamic factor model

A new multi-objective ensemble wind speed forecasting system: Mixed-frequency interval-valued modeling paradigm,
Wendong Yang, Xinyi Zang, Chunying Wu and Yan Hao, in Energy (2024)
Keywords: Wind speed forecasting; Interval-valued wind speed; Mixed-frequency data; Ensemble forecasting;

Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR,
Michael McCracken, Michael Owyang and Tatevik Sekhposyan, from Federal Reserve Bank of St. Louis (2020)
Keywords: Stacked vector autoregression; Mixed-frequency estimation; Vector autoregression; Bayesian methods; Forecasting; Nowcasting; conditional forecasts

The ENSO Cycle and Forecastability of Global Inflation and Output Growth: Evidence from Standard and Mixed-Frequency Multivariate Singular Spectrum Analyses,
Hossein Hassani, Mohammad Yeganegi and Rangan Gupta, from University of Pretoria, Department of Economics (2021)
Keywords: GDP growth, Inflation, ENSO, Forecastibility, Mixed-Frequency Multivariate SSA, Continuous Wavelet Transform

Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence,
Andres Algaba, Samuel Borms, Kris Boudt and Brecht Verbeken, from National Bank of Belgium (2021)
Keywords: dynamic factor model, mixed-frequency, nowcasting, sentiment index, Sentometrics, state space

A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables,
Claudia Foroni and Massimiliano Marcellino, from European University Institute (2012)
Keywords: mixed-frequency data; mixed-frequency VAR; MIDAS; factor models; nowcasting; forecasting

A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates,
Claudia Foroni and Massimiliano Marcellino, in International Journal of Forecasting (2014)
Keywords: Mixed-frequency data; Mixed-frequency VAR; MIDAS; Bridge models; Factor models; Nowcasting;

Testing for Granger causality in large mixed-frequency VARs,
Thomas Götz, Alain Hecq and Stephan Smeekes, from Deutsche Bundesbank (2015)
Keywords: Granger Causality, Mixed Frequency VAR, Bayesian VAR, Reduced Rank Model, Bootstrap Test

Testing for Granger causality in large mixed-frequency VARs,
Thomas Götz, Alain Hecq and Stephan Smeekes, in Journal of Econometrics (2016)
Keywords: Granger causality; Mixed frequency VAR; Bayesian VAR; Reduced rank model; Bootstrap test;

Real-time forecasting of the US federal government budget: A simple mixed frequency data regression approach,
Eric Ghysels and Nazire Ozkan, in International Journal of Forecasting (2015)
Keywords: Forecasting; Mixed-frequency data; MIDAS regressions;

Forecasting crop yields through climate variables using mixed frequency data. The case of Argentine soybeans,
Magdalena Cornejo, in Económica (2021)
Keywords: yields; forecasting; climate; mixed-frequency; soybeans

Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model,
Ruey Yau and C. Hueng, in Computational Economics (2019)
Keywords: DSGE model, Mixed frequency, Nowcasting, Kalman filter

Mixed-frequency models for tracking short-term economic developments in Switzerland,
Alain Galli, Christian Hepenstrick and Rolf Scheufele, from Swiss National Bank (2017)
Keywords: Mixed frequency, GDP, nowcasting, forecasting, Switzerland

Revisiting the transitional dynamics of business-cycle phases with mixed-frequency data,
Marie Bessec, from HAL (2019)
Keywords: Business cycles,Markov-switching,mixed-frequency data

Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods,
Qichang Xie, Yu Bai, Nanfei Jia and Xin Xu, in Energy Economics (2024)
Keywords: Energy market risk spillover; GARCH-MIDAS-MPP model; Macroprudential policy; Mixed-frequency; Time-frequency domain; TVP-VAR model;

Quantile forecasting with mixed-frequency data,
Luiz Lima, Fanning Meng and Lucas Godeiro, in International Journal of Forecasting (2020)
Keywords: High-frequency predictors; Quantile regression; LASSO; Elastic net;

Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data,
Monica Defend, Aleksey Min, Lorenzo Portelli, Franz Ramsauer, Francesco Sandrini and Rudi Zagst, in Forecasting (2021)
Keywords: approximate dynamic factor model; expectation-maximization algorithm; forecasting; incomplete data; mixed-frequency information; prediction interval; trading strategy; vector autoregression

Mixed-frequency data Sampling Grey system Model: Forecasting annual CO2 emissions in China with quarterly and monthly economic-energy indicators,
Yimeng An, Yaoguo Dang, Junjie Wang, Huimin Zhou and Son T. Mai, in Applied Energy (2024)
Keywords: CO2 emission; Grey system model; Mixed-frequency data sampling; Cuckoo Search algorithm;

Financial Stability and Economic Activity in China: Based on Mixed-Frequency Spillover Method,
Xuan Lv, Menggang Li and Yingjie Zhang, in Sustainability (2022)
Keywords: financial stability; financial stress index; mixed frequency; spillovers; economic security

Forecasting Quarterly Russian GDP Growth with Mixed-Frequency Data,
Heiner Mikosch and Laura Solanko, in Russian Journal of Money and Finance (2019)
Keywords: forecasting, Russia, GDP growth, mixed frequency data, MIDAS, bridge equations

Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes,
Alain Hecq and Thomas Goetz, from University Library of Munich, Germany (2018)
Keywords: Mixed frequencies; Granger causality; Hypothesis testing, Vector autoregressions; Cointegration

Structural analysis with mixed-frequency data: A model of US capital flows,
Emanuele Bacchiocchi, Andrea Bastianin, Alessandro Missale and Eduardo Rossi, in Economic Modelling (2020)
Keywords: Mixed frequency variables; Capital flows; Monetary policy; Uncertainty shocks;

Short-term monitoring of the Spanish Government balance with mixed-frequencies models,
Teresa Leal, Diego J. Pedregal and Javier Pérez, from Banco de España (2009)
Keywords: Fiscal forecasting, Fiscal policies, Mixed frequency data, Kalman Filter

Forecasting Realized Volatility Using Machine Learning and Mixed-Frequency Data (the Case of the Russian Stock Market),
Vladimir Pyrlik, Pavel Elizarov and Aleksandra Leonova, from The Center for Economic Research and Graduate Education - Economics Institute, Prague (2021)
Keywords: heterogeneous autoregressive model; machine learning; lasso; gradient boosting; random forest; long short-term memory; realized volatility; Russian stock market; mixed-frequency data;

Large mixed-frequency VARs with a parsimonious time-varying parameter structure,
Thomas Götz and Klemens Hauzenberger, from Deutsche Bundesbank (2018)
Keywords: Mixed Frequencies, Time-Varying Intercepts, Common Stochastic Volatility, Bayesian VAR, Forecasting

Mixed-Frequency Macro–Finance Factor Models: Theory and Applications*,
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin, in Journal of Financial Econometrics
Keywords: large panel, unobservable pervasive factors, mixed frequency, canonical correlations, forecasting models

Mixed-Frequency Macro–Finance Factor Models: Theory and Applications*,
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin, in Journal of Financial Econometrics (2020)
Keywords: large panel, unobservable pervasive factors, mixed frequency, canonical correlations, forecasting models

Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter,
Christian Hepenstrick and Massimiliano Marcellino, from Swiss National Bank (2016)
Keywords: Dynamic Factor Models, Mixed Frequency, GDP Nowcasting, Forecasting, Partial Least Squares

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series,
Eric Ghysels and J. Miller, from C.E.P.R. Discussion Papers (2013)
Keywords: Temporal aggregation; Mixed sampling frequencies; Cointegration; Trace test; Residual-based cointegration test