Financial variables as predictors of real output growth

• المؤلف الرئيسي: Tay, Anthony S.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Forecasting; Mixed Frequencies; Functional linear regression.; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1058; https://ink.library.smu.edu.sg/context/soe_research/article/2057/viewcontent/Tay_2007_.pdf
• المؤسسة: 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...