The importance of the macroeconomic variables in forecasting stock return variance : a GARCH-MIDAS approach
Hossein Asgharian, Ai Jun Hou and Farrukh Javed
| Year of publication: |
2013
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|---|---|
| Authors: | Asgharian, Hossein ; Hou, Ai Jun ; Javed, Farrukh |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 32.2013, 7, p. 600-612
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| Subject: | Mixed data sampling | long-term variance component | macroeconomic variables | principal component | variance prediction | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010202170