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Browsing Research Articles (Economics) by Subject "Adaptive LASSO"

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Financial uncertainty and gold market volatility : evidence from a generalized autoregressive conditional heteroskedasticity variant of the mixed-data sampling (GARCH-MIDAS) approach with variable selection

Chuang, O-Chia; Gupta, Rangan; Pierdzioch, Christian; Shu, Buliao (MDPI, 2024-12)

We analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized ...

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