Stock exchange volatility forecasting under market stress with MIDAS regression
Author:
Affiliation:
1. Economic Modelling Department Turkish Presidency, Presidency of Strategy and Budget Ankara Turkey
2. Department of Business Administration Hacettepe University, Beytepe Campus Ankara Turkey
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2421
Reference43 articles.
1. MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets;Alper C.;Economics Letters,2012
2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
3. Andersen T. Bollerslev T. Christoffersen P. &Diebold F.(2005. March).Volatility forecasting(NBER Working Paper No. 11188). Retrieved fromhttps://doi.org/10.3386/w11188
4. The distribution of realized stock return volatility
5. Andersen T. Bollerslev T. Diebold F. &Labys P.(1999).The distribution of exchange rate volatility. Stern Business School (pp. 1–45). Retrieved fromhttps://doi.org/10.3386/w6961
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