A comparison between parametric and nonparametric volatility forecasting of stock index futures in China
Rui Jiang and Conghua Wen
| Year of publication: |
2022
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| Authors: | Jiang, Rui ; Wen, Conghua |
| Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 58.2022, 9, p. 2522-2537
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| Subject: | GARCH model | HAR model | intraday data | Stock index futures | volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Index-Futures | Index futures | Prognoseverfahren | Forecasting model | China | Aktienindex | Stock index | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2021.2002142 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013354977