Onno Kleen

Heidelberg University - Department of Economics

Research assistant

Bergheimer Strasse 58

Heidelberg, BW 69115

Germany

http://onnokleen.de

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Two are better than one: volatility forecasting using multiplicative component GARCH-MIDAS models

A preliminary version of this paper circulated under the title “On the Statistical Properties of Multiplicative GARCH Models” (2016)
Number of pages: 58 Posted: 21 Mar 2016 Last Revised: 03 Apr 2019
Christian Conrad and Onno Kleen
Heidelberg University - Faculty of Economics and Social Studies and Heidelberg University - Department of Economics
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Abstract:

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Forecast evaluation, GARCH-MIDAS, Mincer-Zarnowitz regression, volatility persistence, volatility component model, long-term volatility, model confidence set.