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
Year of publication: |
[2024]
|
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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 | Clusteranalyse | Cluster analysis | USA | United States | Volatilität | Volatility | Kapitalmarktrendite | Capital market returns | Risiko | Risk |
Extent: | 1 Online-Ressource (circa 27 Seiten) Illustrationen |
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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 |
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