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National Centre for Econometric Research (NCER)
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
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Forecasting stock market volatility conditional on macroeconomic conditions.
Becker, Ralf
;
Clements, Adam
-
National Centre for Econometric Research (NCER)
-
2007
macroeconomic information. It is an extension of the
SPLINE
GARCH model proposed by Engle and Rangel (2005). The advantage of the …
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