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| Regression MIDAS senza vincoli× | DCC-MIDAS× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2007 | 2013 |
| Ideatore≠ | Eric Ghysels | Engle, Ghysels, and Sohn |
| Tipo≠ | Time-series regression | Time-varying correlation model |
| Fonte seminale≠ | Foroni, C., Ghysels, E., & Marcellino, M. (2015). Mixed-frequency vector autoregressive models. International Journal of Forecasting, 31(4), 1051-1070. DOI ↗ | Engle, R. F., Ghysels, E., & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics, 95(3), 776-797. DOI ↗ |
| Alias | Unrestricted Mixed Data Sampling | DCC mixed-frequency model |
| Correlati | 3 | 3 |
| Sintesi≠ | U-MIDAS (Unrestricted MIDAS) is a regression framework designed to handle mixed-frequency data—when explanatory variables arrive at different sampling frequencies (e.g., monthly GDP mixed with daily stock returns). Introduced by Ghysels and colleagues (2007), it eliminates the restrictive lag-structure polynomial constraints of the original MIDAS approach, allowing fuller use of high-frequency information. This flexibility makes it ideal for nowcasting and real-time economic forecasting. | DCC-MIDAS combines dynamic conditional correlation (DCC) GARCH with mixed-frequency data sampling (MIDAS), enabling estimation of time-varying correlations between variables when observations arrive at different frequencies. Introduced by Engle et al. (2013), it models how correlations evolve with low-frequency macroeconomic conditions using high-frequency asset price information. This is crucial for portfolio risk management and understanding macro-finance linkages. |
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