Navigation auf zora.uzh.ch

Search ZORA

ZORA (Zurich Open Repository and Archive)

Mixed-Frequency Predictive Regressions

Leippold, Markus; Yang, Hanlin (2023). Mixed-Frequency Predictive Regressions. Journal of Forecasting, 42(8):1955-1972.

Abstract

We explore the performance of mixed-frequency predictive regressions for stock returns from the perspective of a Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions. Empirically, we find that mixed-frequency models improve predictability, not only because of the combination of predictors with different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally aggregated models misspecify the evolution frequency of the volatility dynamics, resulting in poor volatility timing and worse portfolio performance than the mixed-frequency specification. These results highlight the importance of preserving the potential mixed-frequency nature of predictors and volatility in predictive regressions.

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Physical Sciences > Modeling and Simulation
Social Sciences & Humanities > Economics and Econometrics
Physical Sciences > Computer Science Applications
Social Sciences & Humanities > Strategy and Management
Social Sciences & Humanities > Statistics, Probability and Uncertainty
Social Sciences & Humanities > Management Science and Operations Research
Scope:Discipline-based scholarship (basic research)
Language:English
Date:1 December 2023
Deposited On:28 Aug 2023 13:21
Last Modified:30 Oct 2024 02:35
Publisher:Wiley-Blackwell Publishing, Inc.
ISSN:0277-6693
OA Status:Hybrid
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1002/for.2999
Other Identification Number:merlin-id:23710
Download PDF  'Mixed-Frequency Predictive Regressions'.
Preview
  • Content: Published Version
  • Language: English
  • Licence: Creative Commons: Attribution 4.0 International (CC BY 4.0)

Metadata Export

Statistics

Citations

Altmetrics

Downloads

31 downloads since deposited on 28 Aug 2023
28 downloads since 12 months
Detailed statistics

Authors, Affiliations, Collaborations

Similar Publications