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- W1523177310 abstract "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 daily returns using a nonparametric Mixed Data Sampling (MIDAS) setting, and (ii) augmenting the quarterly AR(1) model with the most recent r -day returns as an additional predictor. We discover that adding low frequency stock returns (up to annual returns, depending on forecast horizon) to a quarterly AR(1) model improves forecasts of output growth." @default.
- W1523177310 created "2016-06-24" @default.
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- W1523177310 date "2007-01-01" @default.
- W1523177310 modified "2023-10-02" @default.
- W1523177310 title "Financial variables as predictors of real output growth" @default.
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