Do extreme shocks help forecast oil price volatility? The augmented GARCH‐MIDAS approach
Author:
Affiliation:
1. School of Mathematics Southwest Jiao Tong University Chengdu China
2. School of Economics & Management Southwest Jiao Tong University Chengdu China
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2525
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3. The importance of the macroeconomic variables in forecasting stock return variance: A GARCH‐MIDAS approach;Asgharian H.;Journal of Forecasting,2013
4. Measuring economic policy uncertainty;Baker S. R.;The Quarterly Journal of Economics,2016
5. Do high‐frequency financial data help forecast oil prices? The MIDAS touch at work;Baumeister C.;International Journal of Forecasting,2015
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