Modelling volatility cycles : the MF2-GARCH model
Christian Conrad, Robert F. Engle
| Year of publication: |
June/July 2025
|
|---|---|
| Authors: | Conrad, Christian ; Engle, Robert F. |
| Published in: |
Journal of applied econometrics. - Chichester [u.a.] : Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 40.2025, 4, p. 438-454
|
| Subject: | long- and short-term volatility | long-term forecasting | mixed frequency data | volatility component models | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Konjunktur | Business cycle | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Online veröffentlicht am 24. Februar 2025 Gesehen am 13.01.2026 Diagramme |
| Other identifiers: | 10.1002/jae.3118 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015463301