Macroeconomic forecasting with mixed data sampling frequencies: Evidence from a small open economy

2018 ◽  
Vol 37 (6) ◽  
pp. 666-675 ◽  
Author(s):  
Albert K. Tsui ◽  
Cheng Yang Xu ◽  
Zhaoyong Zhang
Keyword(s):  
Open Economy ◽  
Small Open Economy ◽  
Mixed Data ◽  
Data Sampling ◽  
Macroeconomic Forecasting ◽  
Mixed Data Sampling

Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach

2008 ◽  
Author(s):  
Michelle T. Armesto ◽  
Ruben Hernandez-Murillo ◽  
Michael Owyang ◽  
Jeremy M. Piger
Keyword(s):  
Information Content ◽  
Mixed Data ◽  
Data Sampling ◽  
Mixed Data Sampling ◽  
Sampling Approach

scholarly journals COVID-19 Outbreak and CO2 Emissions: Macro-Financial Linkages

2020 ◽  
Vol 14 (1) ◽  
pp. 12
Author(s):  
Julien Chevallier
Keyword(s):  
Co2 Emissions ◽  
Fossil Fuels ◽  
Mixed Data ◽  
Energy Information Administration ◽  
Time Varying ◽  
Data Sampling ◽  
Quantitative Finance ◽  
Financial Variables ◽  
Mixed Data Sampling ◽  
The One

In the Dynamic Conditional Correlation with Mixed Data Sampling (DCC-MIDAS) framework, we scrutinize the correlations between the macro-financial environment and CO2 emissions in the aftermath of the COVID-19 diffusion. The main original idea is that the economy’s lock-down will alleviate part of the greenhouse gases’ burden that human activity induces on the environment. We capture the time-varying correlations between U.S. COVID-19 confirmed cases, deaths, and recovered cases that were recorded by the Johns Hopkins Coronavirus Center, on the one hand; U.S. Total Industrial Production Index and Total Fossil Fuels CO2 emissions from the U.S. Energy Information Administration on the other hand. High-frequency data for U.S. stock markets are included with five-minute realized volatility from the Oxford-Man Institute of Quantitative Finance. The DCC-MIDAS approach indicates that COVID-19 confirmed cases and deaths negatively influence the macro-financial variables and CO2 emissions. We quantify the time-varying correlations of CO2 emissions with either COVID-19 confirmed cases or COVID-19 deaths to sharply decrease by −15% to −30%. The main takeaway is that we track correlations and reveal a recessionary outlook against the background of the pandemic.

scholarly journals Forecasting Tourism Demand with an Improved Mixed Data Sampling Model

2020 ◽  
Vol 60 (2) ◽  
pp. 336-353 ◽  
Author(s):  
Long Wen ◽  
Chang Liu ◽  
Haiyan Song ◽  
Han Liu
Keyword(s):  
Factor Model ◽  
Moving Average ◽  
Demand Forecasting ◽  
Mainland China ◽  
Mixed Data ◽  
Dynamic Factor ◽  
Data Sampling ◽  
Tourism Demand ◽  
Composite Indices ◽  
Mixed Data Sampling

Search query data reflect users’ intentions, preferences and interests. The interest in using such data to forecast tourism demand has increased in recent years. The mixed data sampling (MIDAS) method is often used in such forecasting, but is not effective when moving average (MA) dynamics are involved. To investigate the relevance of the MA components in MIDAS models to tourism demand forecasting, an improved MIDAS model that integrates MIDAS and the seasonal autoregressive integrated moving average process is proposed. Its performance is tested by forecasting monthly tourist arrivals in Hong Kong from mainland China with daily composite indices constructed from a large number of search queries using the generalized dynamic factor model. The forecasting results suggest that this new model significantly outperforms the benchmark model. In addition, comparing the forecasts and nowcasts shows that the latter generally outperforms the former.

Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach

2009 ◽  
Vol 41 (1) ◽  
pp. 35-55 ◽  
Author(s):  
MICHELLE T. ARMESTO ◽  
RUBÉN HERNÁNDEZ-MURILLO ◽  
MICHAEL T. OWYANG ◽  
JEREMY PIGER
Keyword(s):  
Information Content ◽  
Mixed Data ◽  
Data Sampling ◽  
Mixed Data Sampling ◽  
Sampling Approach
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