Yu, Xiaoling; Huang, Yirong; Xiao, Kaitian - In: Journal of applied economics 24 (2021) 1, pp. 416-440
economies (Brazil, Russia, India, China, South Africa, Mexico, Indonesia, South Korea, and Turkey). We employ an expanded GARCH-MIDAS …-of-sample forecasting ability of the extended model, taking traditional GARCH model and GARCH-MIDAS model as benchmarks, but also use the …