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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 GARCH-class model based on mixed data sampling regression (GARCH–MIDAS... 
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
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... 
Mixed-frequency data | Volatility component models | Long-term volatility | GARCH-MIDAS | LM test
Journal Article
Energy Economics, ISSN 0140-9883, 10/2017, Volume 68, pp. 141 - 150
.... We use a new GARCH-class model based on mixed data sampling regression and the dynamic model averaging combination method to examine the predicting power of the determinants... 
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
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, 09/2018, Volume 505, pp. 490 - 499
.... The results showed that NVIX has a positive and significant impact on stock market variances in the full sample period using the GARCH–MIDAS model... 
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
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 components... 
Leverage effect | Volatility | GARCH-MIDAS | Forecasting | HELP | PHYSICS, MULTIDISCIPLINARY | MARKET VOLATILITY | CONDITIONAL HETEROSKEDASTICITY | REALIZED VOLATILITY | MODEL | ASSET RETURNS | Leverage (Finance) | Analysis
Journal Article
Journal of empirical finance, ISSN 0927-5398, 09/2020, Volume 58, pp. 36 - 49
We consider a GARCH-MIDAS model with short-term and long-term volatility components, in which the long-term volatility component depends on many macroeconomic and financial variables... 
Penalized maximum likelihood | Stock market volatility | GARCH-MIDAS model | Variable selection | Adaptive-Lasso
Journal Article
International Journal of Forecasting, ISSN 0169-2070, 04/2020, Volume 36, Issue 2, pp. 684 - 694
This paper introduces a combination of asymmetry and extreme volatility effects in order to build superior extensions of the GARCH-MIDAS model for modeling and forecasting the stock volatility... 
Out-of-sample forecasts | Volatility forecasting | Stock market | GARCH-MIDAS | Forecasting evaluation | EVENTS | MANAGEMENT | MARKET VOLATILITY | BEAT | OVERREACTION | OIL | LONG-MEMORY | ECONOMICS | VARIANCE | EXPECTATIONS | SHORT-TERM | Prices and rates | Models | Stocks | Analysis
Journal Article
Quantitative Finance, ISSN 1469-7688, 11/2019, Volume 19, Issue 11, pp. 1839 - 1855
We introduce extensions of the Realized Exponential GARCH model (REGARCH) that capture the evident high persistence typically observed in measures of financial market volatility in a tractable fashion... 
Persistence | HAR | Realized kernel | Realized exponential GARCH | Long memory | GARCH-MIDAS
Journal Article
Economics, ISSN 1864-6042, 07/2016, Volume 10, Issue 20, p. 1
Journal Article
Finance research letters, ISSN 1544-6123, 08/2019, p. 101258
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
.... We apply the generalized autoregressive conditional heteroscedastic mixed data sampling (GARCH-MIDAS) model to evaluate the impact of the monthly GEPU index on the daily Shanghai Composite index... 
SPILLOVERS | GEPU | PHYSICS, MULTIDISCIPLINARY | RETURN VOLATILITY | UNCERTAINTY | Chinese stock market | Volatility forecasting | VARIABLES | VARIANCE | MODEL | TERM | GARCH-MIDAS
Journal Article
Economic modelling, ISSN 0264-9993, 03/2020
Journal Article
by Young Im Lee and and Jin Lee
Journal of economic research, ISSN 1226-4261, 2018, Volume 23, Issue 2, p. 109
We make use of the GARCH-MIDAS(Mixed Data Sampling) framework as a component volatility model and identify stock market volatility as the product of transitory financial volatility and smoothly varying macroeconomic volatility... 
Volatility Spillover | High Frequency | GARCH-MIDAS | Low Frequency
Journal Article
Economic Modelling, ISSN 0264-9993, 04/2018, Volume 70, pp. 543 - 560
.... We use a recently proposed GARCH-MIDAS model which jointly incorporates the daily price volatility and low-frequency macroeconomic variables... 
Macroeconomic determinants | Volatility | GARCH-MIDAS model | Emerging markets | Commodity futures | GOLD | RETURNS | RISK | PRICE VOLATILITY | MODEL | AGRICULTURAL COMMODITY | RATES | ECONOMICS
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 07/2019, Volume 525, pp. 155 - 163
.... First, the EPU index can significantly increase the predictive ability compared to benchmark model for the oil market... 
Volatility forecasting | Oil market | Economic policy uncertainty | GARCH-MIDAS | Monetary policy uncertainty | PHYSICS, MULTIDISCIPLINARY | MARKET VOLATILITY | RETURNS | US STOCK | MODEL | ECONOMIC-POLICY UNCERTAINTY | FORECAST | SHOCKS | IMPACT | REALIZED VOLATILITY | Monetary policy | Analysis
Journal Article
Energies (Basel), ISSN 1996-1073, 2019, Volume 12, Issue 21, p. 4123
This study employed a dynamic conditional correlation–mixed-data sampling (DCC–MIDAS) approach and panel data analysis to examine the factors that influence... 
ECONOMIC-ACTIVITY | ENERGY & FUELS | EXCHANGE-RATES | RETURNS | stock market | US STOCK | MODEL | DEPENDENCE | CO-MOVEMENT | COINTEGRATION | DCC-MIDAS | oil price | VOLATILITY SPILLOVERS | GARCH-MIDAS | PRICE SHOCKS | Studies | Crude oil prices | Economic models | Correlation | Stock exchanges | Crude oil | Securities markets | Pricing | Risk | Economic conditions | dcc–midas | garch–midas
Journal Article
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