Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model

Measuring Economic Policy Uncertainty*

Scott Baker, Nicholas Bloom, Steven J. Davis · The Quarterly Journal of Economics · 2016 · 11.9K citations · Full text

Social Sciences, Economics, Finance +9

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Peter Reinhard Hansen, Asger Lunde · Journal of Applied Econometrics · 2005 · 1.7K citations · Full text

Business, Economics, Finance +17

Comparing Predictive Accuracy

Francis X. Diebold, Robert S. Mariano · Journal of Business and Economic Statistics · 2002 · 1.7K citations

Public Health, Economics, Causal Inference +15

Bitcoin, gold and the dollar – A GARCH volatility analysis

Anne Haubo Dyhrberg · Finance research letters · 2015 · 1.5K citations

Business, Economics, Finance +12

Stock Market Volatility and Macroeconomic Fundamentals

Robert F. Engle, Éric Ghysels, Bumjean Sohn · The Review of Economics and Statistics · 2012 · 1.1K citations

Business, Economics, Finance +17