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Journals:
Journal of Applied Econometrics
Volumes:
30
Issues:
7
Christian Conrad
;
Karin Loch
Anticipating Long-Term Stock Market Volatility (replication data)
We investigate the relationship between long-term US stock market risks and the macroeconomic environment using a two-component GARCH-MIDAS model. Our results show that...
DOI:10.15456/jae.2022321.0724304018
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