Predicting the long-term stock market volatility : a GARCH-MIDAS model with variable selection
Tong Fang, Tae-Hwy Lee, Zhi Su
| Year of publication: |
2020
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|---|---|
| Authors: | Fang, Tong ; Lee, Tae-hwy ; Su, Zhi |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 58.2020, p. 36-49
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| Subject: | Adaptive-Lasso | GARCH-MIDAS model | Penalized maximum likelihood | Stock market volatility | Variable selection | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Börsenkurs | Share price | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2020.05.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012430452