Work

Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach

Year: 2020

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2020.105849

Authors: Yu You, Xiaochun Liu

Institutions: Liaoning University, University of Alabama

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Ministry of Education of the People's Republic of China, Liaoning Revitalization Talents Program

Awards: G799727036, G957973034

OpenAlex ID: W3023973397

FWCI: 8.572

Cites: 44

Cited by: 55

Related to: 10