Regression Models of Macroeconomic Indicators with Explanatory Variables Observed at a Higher Frequency

Virmantas Kvedaras (), Alfredas Rackauskas () and Danas Zuokas ()
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Virmantas Kvedaras: Vilnius University, Lithuania
Alfredas Rackauskas: Vilnius University, Lithuania
Danas Zuokas: Vilnius University, Lithuania

Chapter 5 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2011, vol. 9, pp 87-99 from University of Lodz

Abstract: Kvedaras, Rackauskas, and Zuokas (Chapter 5) propose new flexible parametric aggregation function that cover both the period and scale effect of high-frequency data. The method is especially useful in regression models that relate low frequency macroeconomic data to financial variables observed at a higher frequency.

Keywords: Macroeconomic indicators; High-frequency data; Parametric aggregation function (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2011
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