Forecasting stock volatility using time-distance weighting fundamental’s shocks
Author:
Funder
Humanities and Social Science Fund of Ministry of Education of China
National Natural Science Foundation of China
Publisher
Elsevier BV
Reference25 articles.
1. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986
2. Stock market volatility and macroeconomic fundamentals;Engle;Rev. Econ. Stat.,2013
3. The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH-MIDAS approach;Fang;J. Futures Mark.,2018
4. Using low frequency information for predicting high frequency variables;Foroni;Int. J. Forecast.,2015
5. Unrestricted mixed data sampling (midas): midas regressions with unrestricted lag polynomials;Foroni;J. Royal Statist. Soc. Series A: Statist. Soc.,2015
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