Mixing Frequencies: Stock Returns as a Predictor of Real Output Growth

• Main Author: TAY, Anthony S.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2006
• Subjects: Forecasting; Mixed Data Sampling; Functional linear regression; Test forSuperior Predictive Ability; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/soe_research/949; https://ink.library.smu.edu.sg/context/soe_research/article/1948/viewcontent/Tay_2006.pdf
• Institution: Singapore Management University

We investigate two methods for using daily stock returns to forecast, and update forecasts of, quarterly real output growth. Both methods aggregate daily returns in some manner to form a single stock market variable. We consider (i) augmenting the quarterly AR(1) model for real output growth with da...