Markov-Switching MIDAS Models

By Pierre Guérin, Massimiliano Marcellino. 2013

113 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6eae03542ae22f25b5a9d7e9350ae5f6718f2636

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Claudia Foroni
2. Massimiliano Marcellino
3. Eric Ghysels
4. Todd E. Clark
5. Serena Ng
6. Martin Feldkircher
7. Mark W. Watson
8. James H. Stock

In Finance

1. Claudia Foroni
2. Massimiliano Marcellino
3. Eric Ghysels

Citations in the corpus

• A Survey of Econometric Methods for Mixed-Frequency Data (2013, methodology): “Markov-Switching MIDAS models Guerin and Marcellino (2011) incorporate regime changes in the parameters of the MIDAS models.”
• Now-Casting and the Real-time Data Flow (2013, unknown): “Kitchen and Monaco (2003), Parigi and Golinelli (2007), Parigi and Schlitzer (1995) and Baffigi, Golinelli, and Parigi (2004).”