Forecasting stock volatility with economic policy uncertainty : a smooth transition GARCH-MIDAS model
Dongxin Li, Li Zhang, Lihong Li
| Year of publication: |
2023
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|---|---|
| Authors: | Li, Dongxin ; Zhang, Li ; Li, Lihong |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 88.2023, p. 1-13
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| Subject: | Economic policy uncertainty | Forecasting volatility | GARCH-MIDAS | Smooth transition | Stock volatility | Volatilität | Volatility | Wirtschaftspolitik | Economic policy | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102708 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014471874