Forecasting volatilities of Asian markets using U.S. macroeconomic variables
Year of publication: |
2023
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Authors: | Tzeng, Kae-Yih |
Published in: |
Emerging markets, finance and trade : EMFT. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 59.2023, 3, p. 676-687
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Subject: | forecasting ability | in-sample test | macroeconomic variables | Market volatility | out-of-sample test | USA | United States | Schätzung | Estimation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Wirtschaftsprognose | Economic forecast | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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