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  • Search: subject:"component variance forecasts"
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Year of publication
Subject
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GARCH-MIDAS models 2 component variance forecasts 2 data snooping 2 macro-variables 2 ARCH model 1 ARCH-Modell 1 Forecasting model 1 Prognoseverfahren 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2
Author
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Awartani, Basel 2 Javed, Farrukh 2 Virk, Nader 2
Published in...
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Working Paper 1 Working paper 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
Cover Image
A reality check on the GARCH-MIDAS volatility models
Virk, Nader; Javed, Farrukh; Awartani, Basel - 2021
We employ a battery of model evaluation tests for a broad-set of GARCH-MIDAS models and account for data snooping bias. We document that inferences based on standard tests for GM variance components can be misleading. Our data mining free results show that the gains of macro-variables in...
Persistent link: https://www.econbiz.de/10012654473
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Cover Image
A reality check on the GARCH-MIDAS volatility models
Virk, Nader; Javed, Farrukh; Awartani, Basel - 2021
Persistent link: https://www.econbiz.de/10012604771
Saved in:
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