Asgharian, Hossein; Hou, Ai Jun; Javed, Farrukh - Knut Wicksells centrum för finansvetenskap, … - 2013
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...