The importance of the macroeconomic variables in forecasting stock return variance: A GARCH‐MIDAS approach
This paper applies the GARCH‐MIDAS (mixed data sampling) model to examine whether
information contained in macroeconomic variables can help to predict short‐term and long …
information contained in macroeconomic variables can help to predict short‐term and long …
The impact of risk and uncertainty on expected returns
EW Anderson, E Ghysels, JL Juergens - Journal of Financial Economics, 2009 - Elsevier
We study asset pricing in economies featuring both risk and uncertainty. In our empirical
analysis, we measure risk via return volatility and uncertainty via the degree of disagreement …
analysis, we measure risk via return volatility and uncertainty via the degree of disagreement …
[图书][B] Handbook of volatility models and their applications
A complete guide to the theory and practice of volatility models in financial engineering
Volatility has become a hot topic in this era of instant communications, spawning a great …
Volatility has become a hot topic in this era of instant communications, spawning a great …
State space models and MIDAS regressions
We examine the relationship between Mi (xed) Da (ta) S (ampling)(MIDAS) regressions and
the Kalman filter when forecasting with mixed frequency data. In general, state space …
the Kalman filter when forecasting with mixed frequency data. In general, state space …
A MIDAS modelling framework for Chinese inflation index forecast incorporating Google search data
X Li, W Shang, S Wang, J Ma - Electronic Commerce Research and …, 2015 - Elsevier
Increased internet penetration makes it possible for user generated content (UGC) to reflect
people's insights and expectations on economic activities. As representative and easily …
people's insights and expectations on economic activities. As representative and easily …
Exploring the predictive ability of LIKES of posts on the Facebook pages of four major city DMOs in Austria
Using data for the period 2010M06–2017M02, this study investigates the possibility of
predicting total tourist arrivals to four Austrian cities (Graz, Innsbruck, Salzburg, and Vienna) …
predicting total tourist arrivals to four Austrian cities (Graz, Innsbruck, Salzburg, and Vienna) …
European equity market integration and joint relationship of conditional volatility and correlations
We analyse the integration patterns of seven leading European stock markets from 1990 to
2013 using daily data and mismatched monthly macroeconomic data. To study the mismatch …
2013 using daily data and mismatched monthly macroeconomic data. To study the mismatch …
Another look at the energy-growth nexus: New insights from MIDAS regressions
AA Salisu, AE Ogbonna - Energy, 2019 - Elsevier
In this paper, we offer the following contributions to the extant literature on the energy-growth
nexus. First, we test the predictability of the energy components in the predictive growth …
nexus. First, we test the predictability of the energy components in the predictive growth …
Forecasting tourist arrivals with the help of web sentiment: A mixed-frequency modeling approach for big data
Online news media coverage regarding a destination, a form of big data, can affect
destination image and influence the number of tourist arrivals. Sentiment analysis extracts …
destination image and influence the number of tourist arrivals. Sentiment analysis extracts …
Prediction of carbon emissions in China's power industry based on the mixed-data sampling (MIDAS) regression model
X Xu, M Liao - Atmosphere, 2022 - mdpi.com
China is currently the country with the largest carbon emissions in the world, to which, the
power industry contributes the greatest share. To reduce carbon emissions, reliable and …
power industry contributes the greatest share. To reduce carbon emissions, reliable and …