The literature on mixed-frequency models is relatively recent and has found applications
across economics and finance. The standard application in economics considers the use of
(usually) monthly variables (eg industrial production) for predicting/fitting quarterly variables
(eg real GDP). This paper proposes a multivariate singular spectrum analysis (MSSA) based
method for mixed-frequency interpolation and forecasting, which can be used for any mixed-
frequency combination. The novelty of the proposed approach rests on the grounds of …

The literature on mixed-frequency models is relatively recent and has found applications
across economics and finance. The standard application in economics considers the use of
(usually) monthly variables (eg industrial production) in predicting/fitting quarterly variables
(eg real GDP). In this paper we propose a Multivariate Singular Spectrum Analysis (MSSA)
based method for mixed frequency interpolation and forecasting, which can be used for any
mixed frequency combination. The novelty of the proposed approach rests on the grounds of …