Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-022-04716-1.pdf
Reference99 articles.
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3. Alqahtani, A., Wither, M. J., Dong, Z., & Goodwin, K. R. (2020b). Impact of news-based equity market volatility on international stock markets. Journal of Applied Economics, 23, 224–234.
4. Andersen, T. G., & Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review, 39, 885–905.
5. Arouri, M., Estay, C., Rault, C., & Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136–141.
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