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  • Search: subject:"GARCH-MIDAS"
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Year of publication
Subject
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Volatility 135 Volatilität 134 GARCH-MIDAS 120 ARCH-Modell 86 ARCH model 84 Forecasting model 67 Prognoseverfahren 67 Risiko 55 Risk 55 Welt 46 World 46 Börsenkurs 45 Share price 44 Aktienmarkt 37 Stock market 37 GARCH-MIDAS model 35 Ölpreis 30 Oil price 29 Schätzung 29 Estimation 28 China 24 Economic policy 24 Wirtschaftspolitik 24 Theorie 22 Theory 22 USA 22 Capital income 20 Kapitaleinkommen 20 United States 20 Volatility forecasting 18 Wirkungsanalyse 18 Impact assessment 17 Oil market 16 Ölmarkt 16 Commodity derivative 15 Rohstoffderivat 15 Time series analysis 15 Zeitreihenanalyse 15 Forecast 13 Prognose 13
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Online availability
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Undetermined 117 Free 57 CC license 9
Type of publication
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Article 148 Book / Working Paper 32
Type of publication (narrower categories)
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Article in journal 138 Aufsatz in Zeitschrift 138 Working Paper 25 Graue Literatur 20 Non-commercial literature 20 Arbeitspapier 19 Article 9 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1 research-article 1
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Language
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English 173 Undetermined 6 Korean 1
Author
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Gupta, Rangan 22 Salisu, Afees A. 20 Conrad, Christian 17 Wang, Lu 10 Ogbonna, Ahamuefula Ephraim 9 Ma, Feng 8 Yin, Libo 8 Bouri, Elie 7 Candila, Vincenzo 7 Liang, Chao 7 Awartani, Basel 5 Cepni, Oguzhan 5 Javed, Farrukh 5 Ji, Qiang 5 Loch, Karin 5 Rittler, Daniel 5 Virk, Nader 5 Zhang, Li 5 Amendola, Alessandra 4 Fang, Libing 4 Fang, Tong 4 Raza, Syed Ali 4 Stürmer, Karin 4 Su, Zhi 4 Zhou, Yimin 4 Benkraiem, Ramzi 3 Gallo, Giampiero M. 3 Ghani, Maria 3 Kleen, Onno 3 Li, Xiafei 3 Liu, Jing 3 Lu, Xinjie 3 Schienle, Melanie 3 Wang, Xinyu 3 Wei, Yu 3 Yu, Honghai 3 Yu, Jize 3 Asgharian, Hossein 2 Borup, Daniel 2 Cai, Huan 2
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Institution
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Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften 2 Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 1 Institute for Prospective Technological Studies (IPTS), Joint Research Centre 1 School of Economics and Management, University of Aarhus 1
Published in...
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Finance research letters 25 Energy economics 12 Department of Economics working paper series 11 International review of economics & finance : IREF 8 International review of financial analysis 7 Journal of forecasting 5 Applied economics 4 Economic modelling 4 International journal of finance & economics : IJFE 4 The North American journal of economics and finance : a journal of financial economics studies 4 Applied economics letters 3 Discussion Paper Series 3 Discussion paper series / University of Heidelberg, Department of Economics 3 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 3 Asia Pacific financial markets 2 Econometrics : open access journal 2 Economics letters 2 Global finance journal 2 International journal of forecasting 2 Journal of Applied Economics 2 Journal of economic research 2 Journal of empirical finance 2 Review of quantitative finance and accounting 2 The quarterly review of economics and finance 2 Tourism economics : the business and finance of tourism and recreation 2 Working Papers / Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften 2 Accounting and finance 1 Bulletin of economic research 1 CREATES Research Papers 1 China finance review international 1 Cogent Business & Management 1 Cogent business & management 1 Economics : the open-access, open-assessment e-journal 1 Economics : the open-access, open-assessment journal 1 Economics Discussion Papers 1 Economics: The Open-Access, Open-Assessment E-Journal 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 Energy Reports 1
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Source
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ECONIS (ZBW) 158 EconStor 15 RePEc 6 Other ZBW resources 1
Showing 1 - 10 of 180
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Sectoral corporate profits and long-run stock return volatility in the United States : a GARCH-MIDAS approach
Salisu, Afees A.; Isah, Kazeem O.; Ogbonna, Ahamuefula … - In: Journal of forecasting 44 (2025) 2, pp. 623-634
Persistent link: https://www.econbiz.de/10015374070
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Can climate risks affect cryptocurrency volatility? : Fresh evidence from a GARCH-MIDAS-X model
Xia, Yufei; Fu, Yating; Zong, Ziyi; Zheng, Qiong - In: Applied economics letters 32 (2025) 6, pp. 803-807
Persistent link: https://www.econbiz.de/10015329821
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Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach
Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024
Persistent link: https://www.econbiz.de/10014505054
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Energy market uncertainties and exchange rate volatility : a GARCHMIDAS approach
Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024
Persistent link: https://www.econbiz.de/10014521267
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Is monetary policy a driver of cryptocurrencies? : evidence from a structural break GARCH-MIDAS approach
Alam, Md Samsul; Amendola, Alessandra; Candila, Vincenzo; … - In: Econometrics : open access journal 12 (2024) 1, pp. 1-19
cryptocurrencies and monetary policy, with a particular focus on their long-term volatility dynamics. We enhance the GARCH-MIDAS (Mixed … with two GARCH-MIDAS models. As of 30 June 2022, the most recent data observation for all samples are noted, although it is … Data Sampling) through the adoption of the SB-GARCH-MIDAS (Structural Break Mixed Data Sampling) to analyze the daily …
Persistent link: https://www.econbiz.de/10014636395
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Geopolitical risks and oil returns volatility : a GARCH-MIDAS approach
Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024
Persistent link: https://www.econbiz.de/10014576026
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Energy market uncertainties and gold return volatility : a GARCH-MIDAS approach
Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024
Persistent link: https://www.econbiz.de/10014576041
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Influence of local and global economic policy uncertainty on the volatility of US state-level equity returns : evidence from a GARCH-MIDAS approach with shrinkage and cluster analy...
Candila, Vincenzo; Cepni, Oguzhan; Gallo, Giampiero M.; … - 2024 - Prima edizione
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Persistent link: https://www.econbiz.de/10015099066
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Forecasting EUA futures volatility with geopolitical risk : evidence from GARCH-MIDAS models
Lu, Hengzhen; Gao, Qiujin; Xiao, Ling; Dhesi, Gurjeet - 2024
Persistent link: https://www.econbiz.de/10015134051
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Return volatility, correlation, and hedging of green and brown stocks : is there a role for climate risk factors?
Li, Haohua; Bouri, Elie; Gupta, Rangan; Fang, Libing - 2023
Persistent link: https://www.econbiz.de/10013482253
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