Influence of local and global economic policy uncertainty on the volatility of US state-level equity returns : evidence from a GARCH-MIDAS approach with shrinkage and cluster analysis
Vincenzo Candila (University of Salerno), Oguzhan Cepni (Ostim Technical University, University of Edinburgh Business School and Copenhagen Business School), Giampiero M. Gallo (Italian Court of Audits (Corte dei conti) and NYU in Florence), Rangan Gupta (University of Pretoria)
| Year of publication: |
[2024]
|
|---|---|
| Authors: | Candila, Vincenzo ; Cepni, Oguzhan ; Gallo, Giampiero M. ; Gupta, Rangan |
| Publisher: |
Pretoria, South Africa : Department of Economics, University of Pretoria |
| Subject: | GARCH-MIDAS | Economic Policy Uncertainty | Elastic Net | Forecast Combination | Cluster Analysis | Wirtschaftspolitik | Economic policy | USA | United States | Clusteranalyse | Cluster analysis | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risiko | Risk |
| Extent: | 1 Online-Ressource (circa 27 Seiten) Illustrationen |
|---|---|
| Series: | Department of Economics working paper series. - Pretoria : Department of Economics, University of Pretoria, ZDB-ID 3031297-8. - Vol. 2024, 37 (August 2024) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015051333