@techreport{38a7ae38e21e49e793820d2b27c921b5,
title = "Nowcasting causality in mixed frequency vector autoregressive models",
abstract = "This paper introduces the notion of nowcasting causality for mixed-frequency VARs as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in the mixed-frequency VAR setting of Ghysels (2012) and illustrate that nowcasting causality can have a crucial impact on the significance of contemporaneous or lagged high-frequency variables in standard MIDAS regression models.",
author = "T.B. G{\"o}tz and A.W. Hecq",
year = "2013",
month = jan,
day = "1",
doi = "10.26481/umagsb.2013050",
language = "English",
series = "GSBE Research Memoranda",
publisher = "Maastricht University, Graduate School of Business and Economics",
number = "050",
address = "Netherlands",
type = "WorkingPaper",
institution = "Maastricht University, Graduate School of Business and Economics",
}