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Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH‐MIDAS and deep learning models
10 references·2 citing·49 second hop
Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH‐MIDAS and deep learning models (2022)Volatility forecasting for stock market i…Deep learning for event-driven stock prediction (2015)Deep learning for event-drive…An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries (2015)An analysis of returns and vo…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY (2008)TEMPORAL AGGREGATION OF UNIVA…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The equity risk premium a solution (1988)The equity risk premium a sol…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Exploring the dynamic nexus of traditional and digital assets in inflationary times: The role of safe havens, tech stocks, and cryptocurrencies (2025)Exploring the dynamic nexus o…Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model (2023)Volatility Spillovers and Con…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Consumption of Stockholders and Non-Stockholders (1990)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Short- Term Interest Rates as Predictors of Inflation (2021)The Behavior of Stock-Market Prices (1965)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Multivariate GARCH models: a surveyNo Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Return and volatility spillover across equity markets between China and Southeast Asian countries (2019)Spillovers and the determinants in Islamic equity markets (2019)Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets (2020)A long memory property of stock market returns and a new model (1993)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Dynamic Conditional Correlation (2002)Asset‐based measurement of poverty (2010)With a little help from abroad: The effect of low-skilled immigration on the female labour supply (2011)Are Incentives for R&D Effective? Evidence from a Regression Discontinuity Approach (2014)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Presidential Address: Discount Rates (2011)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Twitter mood predicts the stock market (2011)Computational Intelligence and Financial Markets: A Survey and Future Directions (2016)NSE Stock Market Prediction Using Deep-Learning Models (2018)Deep learning for financial applications : A survey (2020)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)The Determinants of Stock and Bond Return Comovements (2010)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1988The equity risk premium a solution1,397 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 2015Deep learning for event-driven stock prediction675 cited
  • 2008TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY348 cited
  • 2015An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries82 cited

Cited by

  • 2025Exploring the dynamic nexus of traditional and digital assets in inflationary times: The role of safe havens, tech stocks, and cryptocurrencies72 cited
  • 2023Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model29 cited

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