A real-rime GARCH-MIDAS model
Xinyu Wu, An Zhao, Tengfei Cheng
| Year of publication: |
2023
|
|---|---|
| Authors: | Wu, Xinyu ; Zhao, An ; Cheng, Tengfei |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 56.2023, p. 1-9
|
| Subject: | Current return information | Persistence | Real-Time GARCH-MIDAS | Volatility forecasting | Volatility of volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104103 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014473667