The importance of the macroeconomic variables in forecasting stock return variance: A GARCH‐MIDAS approach

H Asgharian, AJ Hou, F Javed - Journal of Forecasting, 2013 - Wiley Online Library
This paper applies the GARCH‐MIDAS (mixed data sampling) model to examine whether
information contained in macroeconomic variables can help to predict short‐term and long …

The impact of risk and uncertainty on expected returns

EW Anderson, E Ghysels, JL Juergens - Journal of Financial Economics, 2009 - Elsevier
We study asset pricing in economies featuring both risk and uncertainty. In our empirical
analysis, we measure risk via return volatility and uncertainty via the degree of disagreement …

[图书][B] Handbook of volatility models and their applications

L Bauwens, CM Hafner, S Laurent - 2012 - books.google.com
A complete guide to the theory and practice of volatility models in financial engineering
Volatility has become a hot topic in this era of instant communications, spawning a great …

State space models and MIDAS regressions

J Bai, E Ghysels, JH Wright - Econometric Reviews, 2013 - Taylor & Francis
We examine the relationship between Mi (xed) Da (ta) S (ampling)(MIDAS) regressions and
the Kalman filter when forecasting with mixed frequency data. In general, state space …

A MIDAS modelling framework for Chinese inflation index forecast incorporating Google search data

X Li, W Shang, S Wang, J Ma - Electronic Commerce Research and …, 2015 - Elsevier
Increased internet penetration makes it possible for user generated content (UGC) to reflect
people's insights and expectations on economic activities. As representative and easily …

Exploring the predictive ability of LIKES of posts on the Facebook pages of four major city DMOs in Austria

U Gunter, I Önder, S Gindl - Tourism Economics, 2019 - journals.sagepub.com
Using data for the period 2010M06–2017M02, this study investigates the possibility of
predicting total tourist arrivals to four Austrian cities (Graz, Innsbruck, Salzburg, and Vienna) …

European equity market integration and joint relationship of conditional volatility and correlations

N Virk, F Javed - Journal of International Money and Finance, 2017 - Elsevier
We analyse the integration patterns of seven leading European stock markets from 1990 to
2013 using daily data and mismatched monthly macroeconomic data. To study the mismatch …

Another look at the energy-growth nexus: New insights from MIDAS regressions

AA Salisu, AE Ogbonna - Energy, 2019 - Elsevier
In this paper, we offer the following contributions to the extant literature on the energy-growth
nexus. First, we test the predictability of the energy components in the predictive growth …

Forecasting tourist arrivals with the help of web sentiment: A mixed-frequency modeling approach for big data

I Önder, U Gunter, A Scharl - Tourism Analysis, 2019 - ingentaconnect.com
Online news media coverage regarding a destination, a form of big data, can affect
destination image and influence the number of tourist arrivals. Sentiment analysis extracts …

Prediction of carbon emissions in China's power industry based on the mixed-data sampling (MIDAS) regression model

X Xu, M Liao - Atmosphere, 2022 - mdpi.com
China is currently the country with the largest carbon emissions in the world, to which, the
power industry contributes the greatest share. To reduce carbon emissions, reliable and …