We use data from the London Metal Exchange (LME) to forecast monthly copper returns
using the recently proposed dynamic model averaging and selection (DMA/DMS) …

This paper shows that for five small commodity-exporting countries that have adopted
inflation targeting monetary policies, world commodity price aggregates have predictive …

This paper first confirms and extends findings in the previous literature that for major
commodity exporters with market-based exchange rates, the world price of their primary …

This research proposes an ordinary least squares (OLS)-based model averaging estimator
using the Mallows model averaging (MMA) criterion for the MIxed DAta Sampling (MIDAS) …

In this paper we study various MIDAS models for which the future daily variance is directly
related to past observations of intraday predictors. Our goal is to determine if there exists an …

Thousands of newspapers, newsletters, television shows, blogs and many more are in
constant demand to report on changing economic conditions. The availability of financial …

This paper proposed a macroeconomic nowcasting model that incorporates daily electricity
data and financial market data, as well as other important economic statistical indicators …

EXECUTIVE SUMMARY The Gross Domestic product (GDP) forecasting requires several
variables, given the important role it plays as one of the main indicators of the economic …

I build an exchange rate strategy that trades currencies conditional on changes in the global
prices of commodity indices; hence, termed “commodity strategy”. First, I document that …

©Copyright 2021 Ryan Mitchell Page 1 ©Copyright 2021 Ryan Mitchell Page 2 Using Mixed
Frequency Data to Forecast Recessions and GDP Ryan Mitchell A dissertation submitted in …