Forecasting stock return volatility : realized volatility-type or duration-based estimators
Year of publication: |
2023
|
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Authors: | Fei, Tianlun ; Liu, Xiaoquan ; Wen, Conghua |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 7, p. 1594-1621
|
Subject: | Chinese stock market | duration-based estimator | intraday data | market microstructure noise | simulation exercises | Volatilität | Volatility | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | China | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Börsenkurs | Share price | ARCH-Modell | ARCH model | Simulation | Zeitreihenanalyse | Time series analysis |
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