Financial Volatility Modeling with the GARCH-MIDAS-LSTM Approach: The Effects of Economic Expectations, Geopolitical Risks and Industrial Production during COVID-19
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DOI: 10.3390/math11081785
Abstract: Forecasting stock markets is an important challenge due to leptokurtic distributions with heavy tails due to uncertainties in markets, economies, and political fluctuations. To forecast the direction of stock markets, the inclusion of leading indicators… read more here.
Keywords: midas lstm; economic expectations; garch midas; volatility ... See more keywords