Stock exchange volatility forecasting under market stress with MIDAS regression
Murat Körs, Mehmet Baha Karan
| Year of publication: |
2023
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|---|---|
| Authors: | Körs, Murat ; Karan, Mehmet Baha |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 1, p. 295-306
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| Subject: | conditional volatility | historical volatility | implied volatility | MIDAS regression | stock market volatility | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Börsenkurs | Share price | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2421 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014253189