Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10010202170
Persistent link: https://www.econbiz.de/10011006299
This paper applies the GARCH-MIDAS (Mixed Data Sampling) model to examine whether information contained in macroeconomic variables can help to predict short-term and long-term components of the return variance. A principal component analysis is used to incorporate the information contained in...
Persistent link: https://www.econbiz.de/10010818798