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

• المؤلف الرئيسي: TAY, Anthony S.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2006
• الموضوعات: Forecasting; Mixed Data Sampling; Functional linear regression; Test forSuperior Predictive Ability; Econometrics; Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/949; https://ink.library.smu.edu.sg/context/soe_research/article/1948/viewcontent/Tay_2006.pdf

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...