Datasets Activity Stream About 1 dataset found Newest Oldest Relevance Name Ascending Name Descending Last Modified Go Publication Year: 2025 Formats: .xls 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 .txt .xls ZIP
