波动性(金融)
计量经济学
股票市场
经济
阈值模型
库存(枪支)
马尔可夫链
已实现方差
金融经济学
统计
工程类
数学
机械工程
古生物学
马
生物
作者
Qing Zeng,Yusui Tang,Hua Yang,Xi Zhang
标识
DOI:10.1016/j.frl.2023.104714
摘要
This study re-examines the relationship between U.S. stock market volatility and economic policy uncertainty (EPU) using the mixed-frequency dynamic threshold model. The empirical results exhibit several findings. The EPU has a threshold effect that is time-varying. Moreover, combining the dynamic threshold with the Markov-regime Mix-frequency model (MS-MIDAS), we find that this new model can significantly improve the predictive performance in a statistical view compared to other competing models (including the benchmark model). Our findings can provide new insight into volatility forecasting.
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