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Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model
16 references·9 citing·45 second hop
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2002Comparing Predictive Accuracy1,745 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
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  • 2005Finance and the Business Cycle: International, Inter‐Industry Evidence498 cited
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  • 2010Forecast comparisons in unstable environments468 cited
  • 1993Entry by Foreign Firms in the United States Under Exchange Rate Uncertainty415 cited
  • 2012Out-of-Sample Forecast Tests Robust to the Choice of Window Size404 cited

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2015
Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions
301 cited

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  • 2021Geopolitical risks and historical exchange rate volatility of the BRICS99 cited
  • 2021Analyzing the (a)symmetric impacts of oil price, economic policy uncertainty, and global geopolitical risk on exchange rate86 cited
  • 2024Extreme weather, policy uncertainty, and risk spillovers between energy, financial, and carbon markets83 cited
  • 2023Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty79 cited
  • 2021Uncertainty and exchange rate volatility: Evidence from Mexico77 cited
  • 2022Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS75 cited
  • 2021COVID-19 and currency dependences: Empirical evidence from BRICS34 cited
  • 2021Volatility GARCH models with the ordered weighted average (OWA) operators30 cited
  • 2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets28 cited