ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS

By Fangfang Wang, Eric Ghysels. Econometric Theory, 2014

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Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting (2019, background): “Wang & Ghysels (2015) further discuss the stationarity conditions for GARCH-MIDAS.”
Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models (2020, unknown): “Wang and Ghysels (2015) consider the special case that f(·) is linear, It = 1 and Xt = ∑J−1 𝑗=0 𝜀 2 t−𝑗 .”
NETS: Network estimation for time series (2019, unknown): “In a way, the volatility residuals can be thought of as the short-run idiosyncratic volatility component of a volatility component model (Barigozzi et al., 2014; Wang & Ghysels, 2015).”