Work

A Real-Time GARCH-MIDAS model

Year: 2023

Type: article

Source: Finance research letters

DOI: 10.1016/j.frl.2023.104103

Authors: Xinyu Wu, An Zhao, Tengfei Cheng

Institution: Anhui University of Finance and Economics

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Natural Science Foundation of Anhui Province

Awards: 时变崩盘风险下的期权定价及风险测度研究, G8962926089

OpenAlex ID: W4380148821

FWCI: 6.53

Cites: 24

Cited by: 31

Related to: 10