Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market
Wei Liu, Ian Garrett
| Year of publication: |
2023
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|---|---|
| Authors: | Liu, Wei ; Garrett, Ian |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 128.2023, p. 1-15
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| Subject: | Heterogeneous Autoregressive Realized Volatility (HAR-RV) model | Macroeconomic uncertainty | MIDAS | Realized volatility | Regime-switching | Tree-structured Model | Volatilität | Volatility | USA | United States | ARCH-Modell | ARCH model | Schätzung | Estimation | Konjunktur | Business cycle | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2023.106483 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014464307