Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach
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- Emiliano Magrini & Ayca Donmez, 2013. "Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach," JRC Working Papers JRC84138, Joint Research Centre (Seville site).
More about this item
KeywordsMixed data sampling; long-term variance component; macroeconomic variables; principal component; variance prediction.;
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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