Economic conditions and predictability of US stock returns volatility : local factor versus national factor in a GARCH-MIDAS model

Salisu, Afees A.; Liao, Wenting; Gupta, Rangan; Cepni, Oguzhan

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Economic conditions and predictability of US stock returns volatility : local factor versus national factor in a GARCH-MIDAS model

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Title:

Economic conditions and predictability of US stock returns volatility : local factor versus national factor in a GARCH-MIDAS model

Series title:

Department of Economics working paper series / Department of Economics, University of Pretoria

Authors:

Salisu, Afees A.
Liao, Wenting
Gupta, Rangan
Cepni, Oguzhan

Document Type:

Book

Place of Publication and Publisher:

Pretoria, South Africa : Department of Economics, University of Pretoria

Year of Publication:

2023

Original URL:

https://www.up.ac.za/media/shared/61/WP/wp_2023_23.zp239211.pdf

Language:

English (eng)

Citation:

Salisu, Afees A./Liao, Wenting et. al. (2023). Economic conditions and predictability of US stock returns volatility : local factor versus national factor in a GARCH-MIDAS model. Pretoria, South Africa : Department of Economics, University of Pretoria.
https://www.up.ac.za/media/shared/61/WP/wp_2023_23.zp239211.pdf.

Appears in Collections:

Department of Economics working paper series

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