Predicting the long-term stock market volatility : a GARCH-MIDAS model with variable selection
Year of publication: |
2020
|
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Authors: | Fang, Tong ; Lee, Tae-hwy ; Su, Zhi |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 58.2020, p. 36-49
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Subject: | Adaptive-Lasso | GARCH-MIDAS model | Penalized maximum likelihood | Stock market volatility | Variable selection | Theorie | Theory | Volatilität | Volatility | Börsenkurs | Share price | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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