Mixed frequency models for financial and economic data
||Mixed frequency models for financial and economic data|
||NAISS Small Compute|
||Hoang Nguyen <email@example.com>|
||2023-01-13 – 2024-02-01|
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.