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| Online-Ressource |
Verfasst von: | Conrad, Christian [VerfasserIn]  |
| Kleen, Onno [VerfasserIn]  |
Titel: | Two are better than one |
Titelzusatz: | volatility forecasting using multiplicative component GARCH‐MIDAS models |
Verf.angabe: | Christian Conrad, Onno Kleen |
Jahr: | 2020 |
Jahr des Originals: | 2019 |
Umfang: | 27 S. |
Teil: | volume:35 |
| year:2020 |
| number:1 |
| pages:19-45 |
| extent:27 |
Fussnoten: | First published: 02 November 2019 ; Gesehen am 18.01.2021 |
Titel Quelle: | Enthalten in: Journal of applied econometrics |
Ort Quelle: | Chichester [u.a.] : Wiley, 1986 |
Jahr Quelle: | 2020 |
Band/Heft Quelle: | 35(2020), 1, Seite 19-45 |
ISSN Quelle: | 1099-1255 |
Abstract: | We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional heteroskedasticity-mixed‐data sampling (GARCH‐MIDAS) models suggested in Engle, Ghysels, and Sohn (Review of Economics and Statistics, 2013, 95, 776–797). |
DOI: | doi:10.1002/jae.2742 |
URL: | Volltext ; Verlag: https://doi.org/10.1002/jae.2742 |
| Volltext: https://onlinelibrary.wiley.com/doi/10.1002/jae.2742 |
| DOI: https://doi.org/10.1002/jae.2742 |
Datenträger: | Online-Ressource |
Sprache: | eng |
K10plus-PPN: | 1744880581 |
Verknüpfungen: | → Zeitschrift |
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Lokale URL UB: | Zum Volltext |
Two are better than one / Conrad, Christian [VerfasserIn]; 2020 (Online-Ressource)
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