Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH-MIDAS and deep learning models
Yuping Song, Xiaolong Tang, Hemin Wang, Zhiren Ma
| Year of publication: |
2023
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|---|---|
| Authors: | Song, Yuping ; Tang, Xiaolong ; Wang, Hemin ; Ma, Zhiren |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 1, p. 51-59
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| Subject: | deep learning model | GARCH-MIDAS model | macroeconomic variables | realized volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Lernprozess | Learning process | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2899 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013465760