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My bibliography Save this paperShort-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
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- Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2016. "Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 118-127, January.
- Marcellino, Massimiliano & Venditti, Fabrizio & Porqueddu, Mario, 2013. "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," CEPR Discussion Papers 9334, C.E.P.R. Discussion Papers.
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More about this item
Keywords
forecasting; business cycle; mixed-frequency data; nonlinear models; nowcasting;All these keywords.
JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-02-08 (Econometrics)
- NEP-ETS-2013-02-08 (Econometric Time Series)
- NEP-FOR-2013-02-08 (Forecasting)
- NEP-MAC-2013-02-08 (Macroeconomics)
- NEP-MST-2013-02-08 (Market Microstructure)
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