Matches in SemOpenAlex for { <https://semopenalex.org/work/W3146564706> ?p ?o ?g. }
Showing items 1 to 81 of
81
with 100 items per page.
- W3146564706 abstract "We explore the relative weekly stock market volatility forecasting performance of the linear univariate MIDAS regression model based on squared daily returns vis-a-vis the benchmark model of GARCH(1,1) for a set of four developed and ten emerging market economies. We first estimate the two models for the 2002-2007 period and compare their in-sample properties. Next we estimate the two models using the data on 2002-2005 period and then compare their out-of-sample forecasting performance for the 2006-2007 period, based on the corresponding mean squared prediction errors following the testing procedure suggested by West (2006). Our findings show that the MIDAS squared daily return regression model outperforms the GARCH model significantly in four of the emerging markets. Moreover, the GARCH model fails to outperform the MIDAS regression model in any of the emerging markets significantly. The results are slightly less conclusive for the developed economies. These results may imply superior performance of MIDAS in relatively more volatile environments." @default.
- W3146564706 created "2021-04-13" @default.
- W3146564706 creator A5045974296 @default.
- W3146564706 creator A5058859243 @default.
- W3146564706 creator A5075375570 @default.
- W3146564706 date "2008-03-01" @default.
- W3146564706 modified "2023-10-04" @default.
- W3146564706 title "Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets" @default.
- W3146564706 hasPublicationYear "2008" @default.
- W3146564706 type Work @default.
- W3146564706 sameAs 3146564706 @default.
- W3146564706 citedByCount "0" @default.
- W3146564706 crossrefType "posted-content" @default.
- W3146564706 hasAuthorship W3146564706A5045974296 @default.
- W3146564706 hasAuthorship W3146564706A5058859243 @default.
- W3146564706 hasAuthorship W3146564706A5075375570 @default.
- W3146564706 hasConcept C10138342 @default.
- W3146564706 hasConcept C105795698 @default.
- W3146564706 hasConcept C106159729 @default.
- W3146564706 hasConcept C121087249 @default.
- W3146564706 hasConcept C13280743 @default.
- W3146564706 hasConcept C149782125 @default.
- W3146564706 hasConcept C161584116 @default.
- W3146564706 hasConcept C162324750 @default.
- W3146564706 hasConcept C166957645 @default.
- W3146564706 hasConcept C185798385 @default.
- W3146564706 hasConcept C199163554 @default.
- W3146564706 hasConcept C204036174 @default.
- W3146564706 hasConcept C205649164 @default.
- W3146564706 hasConcept C23922673 @default.
- W3146564706 hasConcept C2779343474 @default.
- W3146564706 hasConcept C2780299701 @default.
- W3146564706 hasConcept C33923547 @default.
- W3146564706 hasConcept C48921125 @default.
- W3146564706 hasConcept C91602232 @default.
- W3146564706 hasConceptScore W3146564706C10138342 @default.
- W3146564706 hasConceptScore W3146564706C105795698 @default.
- W3146564706 hasConceptScore W3146564706C106159729 @default.
- W3146564706 hasConceptScore W3146564706C121087249 @default.
- W3146564706 hasConceptScore W3146564706C13280743 @default.
- W3146564706 hasConceptScore W3146564706C149782125 @default.
- W3146564706 hasConceptScore W3146564706C161584116 @default.
- W3146564706 hasConceptScore W3146564706C162324750 @default.
- W3146564706 hasConceptScore W3146564706C166957645 @default.
- W3146564706 hasConceptScore W3146564706C185798385 @default.
- W3146564706 hasConceptScore W3146564706C199163554 @default.
- W3146564706 hasConceptScore W3146564706C204036174 @default.
- W3146564706 hasConceptScore W3146564706C205649164 @default.
- W3146564706 hasConceptScore W3146564706C23922673 @default.
- W3146564706 hasConceptScore W3146564706C2779343474 @default.
- W3146564706 hasConceptScore W3146564706C2780299701 @default.
- W3146564706 hasConceptScore W3146564706C33923547 @default.
- W3146564706 hasConceptScore W3146564706C48921125 @default.
- W3146564706 hasConceptScore W3146564706C91602232 @default.
- W3146564706 hasLocation W31465647061 @default.
- W3146564706 hasOpenAccess W3146564706 @default.
- W3146564706 hasPrimaryLocation W31465647061 @default.
- W3146564706 hasRelatedWork W1110131801 @default.
- W3146564706 hasRelatedWork W1510842273 @default.
- W3146564706 hasRelatedWork W1604588334 @default.
- W3146564706 hasRelatedWork W1679881948 @default.
- W3146564706 hasRelatedWork W1894632198 @default.
- W3146564706 hasRelatedWork W1973384092 @default.
- W3146564706 hasRelatedWork W2019678334 @default.
- W3146564706 hasRelatedWork W2078341953 @default.
- W3146564706 hasRelatedWork W2083275936 @default.
- W3146564706 hasRelatedWork W2121592620 @default.
- W3146564706 hasRelatedWork W2131977317 @default.
- W3146564706 hasRelatedWork W2136824896 @default.
- W3146564706 hasRelatedWork W2137741150 @default.
- W3146564706 hasRelatedWork W2145252306 @default.
- W3146564706 hasRelatedWork W2345881795 @default.
- W3146564706 hasRelatedWork W2361397893 @default.
- W3146564706 hasRelatedWork W2756292247 @default.
- W3146564706 hasRelatedWork W2886259610 @default.
- W3146564706 hasRelatedWork W3007187843 @default.
- W3146564706 hasRelatedWork W3106952414 @default.
- W3146564706 isParatext "false" @default.
- W3146564706 isRetracted "false" @default.
- W3146564706 magId "3146564706" @default.
- W3146564706 workType "article" @default.