SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A Real-Time GARCH-MIDAS model · Study

ArticleShelves

ArticleA Real-Time GARCH-MIDAS model

Xinyu Wu2023

Article2023

A Real-Time GARCH-MIDAS model

Xinyu Wu · An Zhao

31 citations·0/0 files stored·Finance research letters

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 31 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1986Modelling the persistence of conditional variances 2010Volatility forecast comparison using imperfect volatility proxies 2012Stock Market Volatility and Macroeconomic Fundamentals 1996Modeling volatility persistence of speculative returns: A new approach 2004Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model 2004On leverage in a stochastic volatility model

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2017Are low-frequency data really uninformative? A forecasting combination perspectivearticle · 6 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 5 shared references 2005Neglecting parameter changes in GARCH modelsarticle · 5 shared references 2011On the forecasting accuracy of multivariate GARCH modelsarticle · 5 shared references 2019Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS modelsarticle · 5 shared references 2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selectionarticle · 5 shared references

Details

Year2023

Typearticle

Published2023-06-10

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations31

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.frl.2023.104103

openalex_workW4380148821

Links

Imported from OpenAlex (CC0) — nothing here is generated.