A reality check on the GARCH-MIDAS volatility models
Nader Virk, Farrukh Javed, Basel Awartani and Stuart Hyde
| Year of publication: |
2024
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|---|---|
| Authors: | Virk, Nader ; Javed, Farrukh ; Awartani, Basel ; Hyde, Stuart |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 30.2024, 6, p. 575-596
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| Subject: | component variance forecasts | data snooping | Forecasting | GARCH-MIDAS models | macro-variables | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2023.2217220 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014547966