18-026/III - Forecasting economic time series using score-driven dynamic models with mixed-data sampling

• Authors
  Paolo Gorgi, VU Amsterdam; Siem Jan (S.J.) Koopman, VU Amsterdam; Tinbergen Institute, The Netherlands; Mengheng Li, VU Amsterdam
• Publication date
  March 21, 2018

• Keywords
  Factor model, GAS model, Inflation forecasting, MIDAS, Score-driven model, Weighted maximum likelihood
• JEL
  C42