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Forecasting M&A deals with MIDAS count model

Details

Identification
JRC130234
Publication date
19 December 2022
Author
Joint Research Centre

Description

This report focuses on the forecast of the number of monthly cross-border deals in the European Union. We propose a new model to improve the forecasting properties of a count model of Foreign Direct Investment deals in EU, by taking into account past trends in high-frequency (daily) deal data and the decomposition of the conditional overdispersion into short-term and long-term components. Our model relies on the dynamic behaviour of the first two moments of the distribution of FDI deals to explain the evolution of parameters η and π in the Negative Binomial distribution. We test this model with several subsets of M&A deals from 1998 to 2021 obtaining sizable forecast improvements as compared to benchmark INGARCH models.

Authors

Ojea Ferreiro, J., Gregori, W. D., Nardo, M.

Files

19 DECEMBER 2022
JRC130234_Forecasting M&A deals with MIDAS count model
English
(4.4 MB - PDF)
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