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Physica A, ISSN 0378-4371, 2018, Volume 492, pp. 923 - 930
This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new... 
Real estate market | GARCH–MIDAS | Chinese stock market | Nonlinear granger causality test | Long-term volatility | Hot money | HELP | RETURN | PRICES | PHYSICS, MULTIDISCIPLINARY | UNCERTAINTY | VARIANCE | GARCH-MIDAS | Stocks | Stock markets | Real property
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 09/2018, Volume 505, pp. 490 - 499
This paper investigates the role of news implied volatility (NVIX), a measure of uncertainty, in long-term stock market volatility in developed markets. The... 
Stock market volatility | News-based implied volatility | GARCH–MIDAS | Uncertainty | PREDICTIVE ACCURACY | MODELS | PHYSICS, MULTIDISCIPLINARY | DISASTER | MACROECONOMIC VARIABLES | REALIZED VOLATILITY | ECONOMIC-POLICY UNCERTAINTY | FORECAST | GARCH-MIDAS | Stocks | Stock markets | Business schools
Journal Article
Energy Economics, ISSN 0140-9883, 10/2017, Volume 68, pp. 141 - 150
This paper aims to identify the most informative determinant in forecasting crude oil market volatility. We use a new GARCH-class model based on mixed data... 
Volatility forecasting | Crude oil market | Dynamic model averaging method | GARCH-MIDAS | POLICY UNCERTAINTY | MIDAS | US STOCK | MODEL | COMBINATION | RETURN | IMPACT | STOCK-MARKET | REALIZED VOLATILITY | ECONOMICS | PRICE SHOCKS | Economic policy | Forecasts and trends
Journal Article
Physica A, ISSN 0378-4371, 2018, Volume 505, pp. 931 - 940
This paper investigates the impact of global economic policy uncertainty (GEPU) on the volatility of the Chinese stock market and whether GEPU has predictive... 
GARCH–MIDAS | GEPU | Chinese stock market | Volatility forecasting | Forecasts and trends | Economic policy | Business schools | Stocks | Stock markets
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 02/2018, Volume 492, pp. 168 - 180
In this paper, we extend the GARCH-MIDAS model proposed by Engle et al. (2013) to account for the leverage effect in short-term and long-term volatility... 
Leverage effect | Volatility | GARCH-MIDAS | Forecasting | HELP | PHYSICS, MULTIDISCIPLINARY | MARKET VOLATILITY | CONDITIONAL HETEROSKEDASTICITY | REALIZED VOLATILITY | MODEL | ASSET RETURNS | Leverage (Finance) | Analysis
Journal Article
Finance Research Letters, ISSN 1544-6123, 05/2015, Volume 13, pp. 10 - 16
In this paper we show that the long-run stock and bond volatility and the long-run stock–bond correlation depend on macroeconomic uncertainty. We use the mixed... 
Macroeconomic uncertainty index | GARCH–MIDAS model | Bond volatility | Stock-bond correlation | Stock volatility | DCC–MIDAS model | DCC-MIDAS model | GARCH-MIDAS model | BUSINESS, FINANCE | Credit market | Samhällsvetenskap | Economics | Economics and Business | Social Sciences | Nationalekonomi | Ekonomi och näringsliv
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 02/2018, Volume 492, pp. 506 - 516
Forecasting financial market volatility is an important issue in the area of econophysics, and revealing the determinants of the market volatility has drawn... 
Stock market volatility | News-based implied volatility | Uncertainty | GARCH-MIDAS | Volatility predictability | ATTENTION | PRICES | PHYSICS, MULTIDISCIPLINARY | RETURNS | IMPLIED VOLATILITY | CRUDE-OIL | TIME | MACROECONOMIC UNCERTAINTY | ECONOMIC-POLICY UNCERTAINTY | DYNAMICS | STOCK MARKETS | Stock markets
Journal Article
by Liu and Yang and Ruan
International journal of financial studies, ISSN 2227-7072, 10/2019, Volume 7, Issue 4, p. 63
Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic... 
long-run variance | macroeconomic fundamentals | garch-midas | china futures market
Journal Article
Journal of Business & Economic Statistics, ISSN 0735-0015, 04/2020, Volume 38, Issue 2, pp. 229 - 242
We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative, there is a two-component... 
Mixed-frequency data | Volatility component models | Long-term volatility | GARCH-MIDAS | LM test
Journal Article
Energy reports, ISSN 2352-4847, 2019, Volume 5, pp. 866 - 873
Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on... 
EPU index | Economic policy uncertainty | GARCH-MIDAS | Crude-oil return volatility | MARKET VOLATILITY | ENERGY & FUELS | UNCERTAINTY
Journal Article
Journal of empirical finance, ISSN 0927-5398, 2014, Volume 29, pp. 26 - 40
Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the... 
Oil–stock relationship | Long-term correlation | Long-term volatility | GARCH-MIDAS | DCC-MIDAS | Oil-stock relationship | ENERGY | PRICES | CONDITIONAL CORRELATION | SHOCKS | BUSINESS, FINANCE | NEWS | ECONOMICS | EXPECTATIONS
Journal Article
Economics letters, ISSN 0165-1765, 2015, Volume 132, pp. 56 - 60
We propose a new measure of the expected variance risk premium that is based on a forecast of the conditional variance from a GARCH-MIDAS model. We find that... 
Vol-of-vol | Return predictability | VIX | Economic uncertainty | GARCH-MIDAS | Variance risk premium | STOCK RETURNS | ECONOMICS | VOLATILITY | Financial markets | Stock markets | Macroeconomics
Journal Article
Review of development finance, ISSN 1879-9337, 2018, Volume 8, Issue 2, pp. 116 - 126
In this paper we use the DCC-MIDAS (Dynamic Conditional Correlation-Mixed Data Sampling) model to infer the association between oil and equities in five MENA... 
MENA Equities | Oil | GARCH-MIDAS | DCC-MIDAS | Risk transfer
Journal Article
金融经济学研究, ISSN 1674-1625, 2016, Volume 31, Issue 4, pp. 47 - 59
Journal Article
by Yu, H and Fang, LB and Sun, WC
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, ISSN 0378-4371, 09/2018, Volume 505, pp. 931 - 940
This paper investigates the impact of global economic policy uncertainty (GEPU) on the volatility of the Chinese stock market and whether GEPU has predictive... 
SPILLOVERS | GEPU | PHYSICS, MULTIDISCIPLINARY | RETURN VOLATILITY | UNCERTAINTY | Chinese stock market | Volatility forecasting | VARIABLES | VARIANCE | MODEL | TERM | GARCH-MIDAS
Journal Article
金融论坛, ISSN 1009-9190, 2017, Issue 4, pp. 68 - 80
本文利用混频数据模型分析中国宏观经济状况对国际黄金市场波动率的影响,并对模型的预测能力进行分析和评价;通过引入已实现波动率和宏观经济变量预期对模型进行拓展。研究表明,中国宏观经济对国际黄金市场波动率呈现出正向影响;中国宏观经济政策的不稳定性会导致市场的波动,即中国宏观经济从不同方面对国际黄金市场长期波动率产生影响。 
MCS方法 | 国际黄金市场 | 外汇储备资产 | GARCH—MIDAS—X模型
Journal Article
The journal of futures markets, ISSN 0270-7314, 2018, Volume 38, Issue 3, pp. 413 - 422
This paper applies the GARCH‐MIDAS model to examine whether information contained in global economic policy uncertainty (GEPU) can help to predict short‐ and... 
gold futures market | GARCH‐MIDAS | global economic policy uncertainty | volatility forecasting | GARCH-MIDAS | BUSINESS, FINANCE | OIL | PRICES | STOCK-MARKET | PERSISTENCE | RETURNS | VARIABLES | VARIANCE | Economic policy | Forecasts and trends | Analysis | Futures market | Volatility (Finance) | Uncertainty | Volatility | Forecasting | Gold markets | Power
Journal Article
Economics, ISSN 1864-6042, 07/2016, Volume 10, Issue 20, p. 1
This paper explores the role of speculation and economy fundamentals in the oil market using a two-component GARCH-MIDAS model. Specifically, the authors... 
Economy fundamentals | Oil shocks | Long/short-term oil volatility | GARCH-MIDAS model | Speculation | speculation | REAL PRICE | ECONOMIC-ACTIVITY | SUPPLY SHOCKS | long/short-term oil volatility | DISENTANGLING DEMAND | US STOCK | SIGN RESTRICTIONS | FUTURES PRICES | MACROECONOMY | STOCK-MARKET | economy fundamentals | COMPONENT | ECONOMICS | Studies | Crude oil prices | Economic models | Volatility
Journal Article
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