เปรียบเทียบวิธี
ดูวิธีที่เลือกเทียบกันแบบเคียงข้าง แถวที่ต่างกันจะถูกเน้นไว้
| DCC-MIDAS× | การถดถอยแบบ MIDAS แบบไม่จำกัด× | |
|---|---|---|
| สาขาวิชา | เศรษฐมิติ | เศรษฐมิติ |
| ตระกูล | Regression model | Regression model |
| ปีกำเนิด≠ | 2013 | 2007 |
| ผู้ริเริ่ม≠ | Engle, Ghysels, and Sohn | Eric Ghysels |
| ประเภท≠ | Time-varying correlation model | Time-series regression |
| แหล่งต้นตำรับ≠ | Engle, R. F., Ghysels, E., & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics, 95(3), 776-797. DOI ↗ | Foroni, C., Ghysels, E., & Marcellino, M. (2015). Mixed-frequency vector autoregressive models. International Journal of Forecasting, 31(4), 1051-1070. DOI ↗ |
| ชื่อเรียกอื่น | DCC mixed-frequency model | Unrestricted Mixed Data Sampling |
| ที่เกี่ยวข้อง | 3 | 3 |
| สรุป≠ | 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. | 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. |
| ScholarGateชุดข้อมูล ↗ |
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