Modelling changes in the unconditional variance of long stock return series

By Cristina Amado, Timo Teräsvirta. 2012

94 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2fd16807aefb6ae30a83f42528b92f6974f48159

Citations in the corpus

• Anticipating Long‐Term Stock Market Volatility (2014, unknown): “The GARCH-MIDAS model is a two component volatility specification in the spirit of Ding and Granger (1996), Engle and Lee (1999), and more recently Bauwens and Storti (2009) and Amado and Teräsvirta (2013 and 2014), and separates short-run fluctuations in volatility from long-term developments. Simi”