论文标题：A note on financial vulnerability and volatility in emerging stock markets: evidence from GARCH-MIDAS models

发表时间：2021.7

论文所有作者：Riza Demirer, Rangan Gupta, He Li and Yu You*

期刊名及所属分类：Applied Economics Letters,经济类

中文摘要/英文摘要：This paper establishes a predictive relationship between financial vulnerability and volatility in emerging stock markets. Focusing on China and India and utilizing GARCH-MIDAS models, we show that incorporating financial vulnerability can substantially improve the forecasting power of standard macroeconomic fundamentals (output growth, inflation and monetary policy interest rate) for stock market volatility. The findings have significant implications for investors to improve the accuracy of volatility forecasts.

注：标*为通讯作者