A Component GARCH Model with Time Varying Weights

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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification (2016, unknown): “This is, however, in contrast with Campbell and Ammer (1993) who report that variations in expected inflation promote a negative correlation since an increase in inflation is bad news for bonds and ambiguous news for stocks.”
Robust Forecasting of Dynamic Conditional Correlation GARCH Models (2013, methodology): “The most widely used models for forecasting conditional covariances and correlations 1See e.g. Andersen, Bollerslev, and Diebold (2007), Bauwens and Storti (2009) and Carnero, Peña, and Ruiz (2012).”
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 Tersvirta (2012, 2013), and separates short-run fluctuations in volatility from long-term developments.”