How to use high frequency indicators for forecasting?
Two approaches have been proposed in order to use high frequency indicators for fore- castinginflation. LenzaandWarmedinger(2010)averagehigherfrequency(dailyandweekly) data over a month and plug them in the dataset as monthly indicators for inflation. Alter-
Can high frequency data improve CPI inflation forecasting?
A study by Michele Mondugno in the International Journal of Forecasting indicates that use of daily and monthly data at a high frequency have generally improved the forecast accuracy of total CPI inflation in the United States. The study utilized a comparison of lower frequency models with one that considered all variables at a high frequency.
What is high frequency data analysis?
This understanding was first developed by 2003 Nobel Prize in Economics winner Robert Fry Engle III, who specializes in developing financial econometric analysis methods using financial data and point processes. High frequency data are primarily used in financial research and stock market analysis.
Where to find inflation using high frequency data?
INFLATION USING HIGH FREQUENCY DATA WORKING PAPER SERIES NO 1324 / APRIL 2011 NOWCASTING INFLATION USING HIGH FREQUENCY DATA by Michele Modugno1 1 European Central Bank, DG-R/EMO, Kaiserstrasse 29, D-60311 Frankfurt am Main,