Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Year of publication: |
2024
|
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Authors: | Segnon, Mawuli ; Gupta, Rangan ; Wilfling, Bernd |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 40.2024, 1, p. 29-43
|
Subject: | EPA tests | Geopolitical risks | Markov-switching GARCH-MIDAS | Model confidence sets | Volatility forecasts | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Geopolitik | Geopolitics | ARCH-Modell | ARCH model | Börsenkurs | Share price | Markov-Kette | Markov chain |
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