Economic conditions and predictability of US stock returns volatility : local factor versus national factor in a GARCH-MIDAS model
Afees A. S alisu, Wenting Liao, Rangan Gupta, Oguzhan Cepni
| Year of publication: |
2025
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|---|---|
| Authors: | Salisu, Afees A. ; Liao, Wenting ; Gupta, Rangan ; Cepni, Oguzhan |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 44.2025, 4, p. 1441-1466
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| Subject: | daily state-level stock returns volatility | DFM-SV | GARCH-MIDAS | local and national factors | predictions | weekly economic conditions index | USA | United States | Kapitaleinkommen | Capital income | Volatilität | Volatility | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Konjunktur | Business cycle | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3251 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464664