Inference on GARCH-MIDAS models without any small-order moment

DOI10.1017/S0266466623000142MaRDI QIDQ6667299zbMATH OpenFDO

Authors C. Francq, Jean-Michel Zakoïan

Publication date 20 January 2025

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466623000142

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Volatility forecast comparison using imperfect volatility proxies

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