Forecasting the volatility of European Union allowance futures with macroeconomic variables using the GJR-GARCH-MIDAS model
Huawei Niu, Tianyu Liu
| Year of publication: |
2024
|
|---|---|
| Authors: | Niu, Huawei ; Liu, Tianyu |
| Subject: | EUA futures | GJR-GARCH | Macroeconomic variables | MIDAS | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | EU-Staaten | EU countries | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Wirtschaftsprognose | Economic forecast | Prognose | Forecast |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-023-02551-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015048361