Forecasting the volatility of European Union allowance futures with macroeconomic variables using the GJR-GARCH-Midas model
Bibliographic Data
| ID | 21542050 |
|---|---|
| Authors | Huawei Niu (0009-0001-9316-2716, China University of Mining and Technology), Tianyu Liu (0009-0001-3524-3438, China University of Mining and Technology, corresponding author) |
| Year | 2024 |
| Volume | 67 |
| Issue | 1 |
| Pages | 75-96 |
| Publication date | 2024-07-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-023-02551-2 |
| OpenAlex | W4391263051 |
| Language | EN |
| References cited | 45 |
Autoregressive conditional heteroskedasticity · Econometrics · Economics · European union · Financial economics · Futures contract · International economics · Monetary economics · Climate Change Policy and Economics · Energy, Environment, Economic Growth · Market Dynamics and Volatility
Generalized autoregressive conditional heteroskedasticity
Measuring Economic Policy Uncertainty
Two are better than one
A Test for Superior Predictive Ability
Exponential GARCH Modeling With Realized Measures of Volatility
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
Stock Market Volatility and Macroeconomic Fundamentals
| Citation velocity | historical |
|---|---|
| Highly cited | No |