Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models

Christian Conrad; Onno Kleen

doi:10.1002/jae.2742

Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models

Christian Conrad, Onno Kleen

Research output: Contribution to journal › Article › Academic › peer-review

90 Citations (Scopus)

Original language	English
Pages (from-to)	19-45
Number of pages	27
Journal	Journal of Applied Econometrics
Volume	35
Issue number	1
DOIs	https://doi.org/10.1002/jae.2742
Publication status	Published - 2020
Externally published	Yes

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Not EUR

Research programs

ESE - E&MS

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10.1002/jae.2742Licence: CC BY-NC

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title = "Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models",

author = "Christian Conrad and Onno Kleen",

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AU - Conrad, Christian

AU - Kleen, Onno

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U2 - 10.1002/jae.2742

DO - 10.1002/jae.2742

M3 - Article

SN - 0883-7252

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SP - 19

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JO - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

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ER -

Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models

Bibliographical note

Research programs

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