Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Mawuli Segnon, Rangan Gupta, Bernd Wilfling
| Year of publication: |
2024
|
|---|---|
| Authors: | Segnon, Mawuli ; Gupta, Rangan ; Wilfling, Bernd |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 40.2024, 1, p. 29-43
|
| Subject: | EPA tests | Geopolitical risks | Markov-switching GARCH-MIDAS | Model confidence sets | Volatility forecasts | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Geopolitik | Geopolitics | Markov-Kette | Markov chain | Aktienmarkt | Stock market | Börsenkurs | Share price | ARCH-Modell | ARCH model | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2022.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014450235