Title:	Mixed frequency models for financial and economic data
DNr:	NAISS 2023/22-52
Project Type:	NAISS Small Compute
Principal Investigator:	Hoang Nguyen <hoang.nguyen@liu.se>
Affiliation:	Örebro universitet
Duration:	2023-01-13 – 2024-02-01
Classification:	50201
Homepage:	https://hoanguc3m.github.io
Keywords:

Abstract

Based on the standard rational pricing model, financial returns are valued based on future cash flows and discount rate. It follows that there are fundamental economic factors that can affect their comovements. On the other hand, financial indicators are effective signals for forecasting the macroeconomics. This project aims to propose mixed frequency models for financial and economic data.