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A Real-Time GARCH-MIDAS model
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A Real-Time GARCH-MIDAS model (2023)A Real-Time GARCH-MIDAS modelGeopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach (2022)Geopolitical risk and stock m…Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets (2021)Response of stock market vola…Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach (2020)Oil shocks and stock market v…Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models (2019)Two are better than one: Vola…ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (2014)ECONOMETRIC ANALYSIS OF VOLAT…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Realized range-based estimation of integrated variance (2006)Realized range-based estimati…On leverage in a stochastic volatility model (2004)On leverage in a stochastic v…Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model (2004)Moment and Memory Properties …A Long-Run and Short-Run Component Model of Stock Return Volatility (1999)A Long-Run and Short-Run Comp…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Modelling financial time series (1987)Modelling financial time seri…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Climate policy uncertainty and world renewable energy index volatility forecasting (2022)Geopolitical risk and dynamic connectedness between commodity markets (2022)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Time-changed Lévy processes and option pricing (2003)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Forecasting stock market prices: Lessons for forecasters (1992)Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets (1998)Stochastic volatility models: conditional normality versus heavy-tailed distributions (2000)The Pricing of Options on Assets with Stochastic Volatilities (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)Multivariate Stochastic Volatility: A Review (2006)High-Frequency Financial Econometrics (2014)Chapter 15 Volatility and Correlation Forecasting (2006)Forecasting crude oil market volatility: Further evidence using GARCH-class models (2010)Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19 (2020)Neglecting parameter changes in GARCH models (2005)Option valuation with long-run and short-run volatility components☆ (2008)Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
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  • 2004On leverage in a stochastic volatility model411 cited
  • 1999A Long-Run and Short-Run Component Model of Stock Return Volatility350 cited
  • 1987Modelling financial time series282 cited
  • 2006Realized range-based estimation of integrated variance243 cited
  • 2022Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach159 cited
  • 2019Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models147 cited
  • 2020Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach103 cited
  • 2021Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets

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94 cited
  • 2014ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS65 cited
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