Forecasting M&A deals with MIDAS count model
JRC Working Papers in Economics and Finance, 2022/15
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.
OJEA FERREIRO Javier;
GREGORI Wildmer;
NARDO Michela;
2022-12-19
European Commission
JRC130234
https://publications.jrc.ec.europa.eu/repository/handle/JRC130234,
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