Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283078 
Year of Publication: 
2022
Series/Report no.: 
JRC Working Papers in Economics and Finance No. 2022/15
Publisher: 
European Commission, Ispra
Abstract: 
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.
Subjects: 
M&A forecasting
MIDAS approach
count process
overdispersion
JEL: 
C10
C19
C35
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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