Forecasting short-run exchange rate volatility with monetary fundamentals : a GARCH-MIDAS approach
Yu You, Xiaochun Liu
| Year of publication: |
2020
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| Authors: | You, Yu ; Liu, Xiaochun |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 116.2020, p. 1-15
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| Subject: | Encompassing test | Forecasting performance decomposition | Management fee | Mixed data frequencies | Model confidence set | Monetary models | Taylor rules | Utility-based comparison | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Theorie | Theory | Taylor-Regel | Taylor rule | Geldpolitik | Monetary policy | Schätzung | Estimation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105849 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012489245