Economic conditions and predictability of US stock returns volatility : local factor versus national factor in a GARCH-MIDAS model
Year of publication: |
[2023]
|
---|---|
Authors: | Salisu, Afees A. ; Liao, Wenting ; Gupta, Rangan ; Cepni, Oguzhan |
Publisher: |
Pretoria, South Africa : Department of Economics, University of Pretoria |
Subject: | Weekly Economic Conditions Index | DFM-SV | Local and National Factors | Daily State-Level Stock Returns Volatility | GARCH-MIDAS | Predictions | USA | United States | Schätzung | Estimation | Kapitaleinkommen | Capital income | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (circa 24 Seiten) |
---|---|
Series: | Department of Economics working paper series. - Pretoria : Department of Economics, University of Pretoria, ZDB-ID 3031297-8. - Vol. 2023, 23 (August 2023) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:11159/631996 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach
Salisu, Afees A., (2024)
-
Energy-related uncertainty and international stock market volatility
Salisu, Afees A., (2023)
-
Razmi, Seyedeh Fatemeh, (2020)
- More ...
-
The effects of uncertainty on economic conditions across US states : the role of climate risks
Sheng, Xin, (2024)
-
Climate risks and forecastability of the weekly state-level economic conditions of the United States
Cepni, Oguzhan, (2024)
-
Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach
Salisu, Afees A., (2024)
- More ...