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volatility component models
Christian Conrad
;
Robert F Engle
Modelling volatility cycles: the MF2-GARCH model (replication data)
We propose a novel multiplicative factor multi-frequency GARCH (MF2-GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one-component...
DOI:10.15456/jae.2025013.1232487362
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