Uncertainty-driven oil volatility risk premium and international stock market volatility forecasting
Tong Fang, Deyu Miao, Zhi Su, Libo Yin
| Year of publication: |
2023
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|---|---|
| Authors: | Fang, Tong ; Miao, Deyu ; Su, Zhi ; Yin, Libo |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 4, p. 872-904
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| Subject: | GARCH-MIDAS | oil volatility risk premium | stock market volatility | uncertainty | Volatilität | Volatility | Risikoprämie | Risk premium | Aktienmarkt | Stock market | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Welt | World | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2923 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014292840