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Econometric Analysis Of Volatility Component Models

Citations

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Cited by:

  1. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
  2. Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
  3. Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
  4. Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1332-1355.
  5. Wu, Xinyu & He, Qizhi & Xie, Haibin, 2023. "Forecasting VIX with time-varying risk aversion," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 458-475.
  6. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
  7. Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
  8. Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
  9. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2021. "Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model," Econometrics and Statistics, Elsevier, vol. 20(C), pages 12-28.
  10. Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
  11. Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.
  12. Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian, 2022. "Inference on Multiplicative Component GARCH without any Small-Order Moment," Working Papers 2022-09, Center for Research in Economics and Statistics.
  13. Karanasos, Menelaos & Yfanti, Stavroula & Wu, Jiaying, 2025. "The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets," Journal of Commodity Markets, Elsevier, vol. 38(C).
  14. Walther, Thomas & Klein, Tony & Bouri, Elie, 2019. "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  15. Mawuli Segnon & Bjorn Schulte-Tillmann & Riza Demirer & Rangan Gupta, 2025. "Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures," Working Papers 202506, University of Pretoria, Department of Economics.
  16. repec:rim:rimwps:21-05 is not listed on IDEAS
  17. Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
  18. Wu, Xinyu & Zhao, An & Cheng, Tengfei, 2023. "A Real-Time GARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 56(C).
  19. Segnon, Mawuli & Gupta, Rangan & Wilfling, Bernd, 2024. "Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks," International Journal of Forecasting, Elsevier, vol. 40(1), pages 29-43.
  20. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2019. "On the asymmetric impact of macro–variables on volatility," Economic Modelling, Elsevier, vol. 76(C), pages 135-152.
  21. Wu, Xinyu & Xie, Haibin, 2021. "A realized EGARCH-MIDAS model with higher moments," Finance Research Letters, Elsevier, vol. 38(C).
  22. Lukman A. Lasisi & Franklin N. Ngwu & Mohammed K. Taliat & Abeeb O. Olaniran & Kelechi C. Nnamdi, 2025. "Modelling commodity market volatility with climate policy uncertainty: a GARCH-MIDAS approach," SN Business & Economics, Springer, vol. 5(3), pages 1-21, March.
  23. Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," Working Papers 0597, University of Heidelberg, Department of Economics.
  24. S. Yfanti & M. Karanasos & J. Wu & P. Vourvachis, 2025. "Short- and long-run cross-border European sustainability interdependences," Annals of Operations Research, Springer, vol. 347(1), pages 579-610, April.
  25. Christian Conrad & Onno Kleen, 2020. "Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 19-45, January.
  26. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Stats, MDPI, vol. 6(4), pages 1-32, December.
  27. Luca Scaffidi Domianello & Giampiero M. Gallo & Edoardo Otranto, 2024. "Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 21-43, February.
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