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Knut Are Aastveit
;
Claudia Foroni
;
Francesco Ravazzolo
Density Forecasts With Midas Models (replication data)
We propose a parametric block wild bootstrap approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. First, Monte Carlo simulations...
DOI:10.15456/jae.2022326.0703868080
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