Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? : evidence based on HAR and Ridge regression models
Yu Wei, Chao Liang, Yan Li, Xunhui Zhang, Guiwu Wei
| Year of publication: |
2020
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| Authors: | Wei, Yu ; Liang, Chao ; Li, Yan ; Zhang, Xunhui ; Wei, Guiwu |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 35.2020, p. 1-8
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| Subject: | China gold futures | GVZ | Realized volatility | Ridge regression | VXSLV | China | Volatilität | Volatility | Gold | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Silber | Silver | Goldstandard | Gold standard | Schätztheorie | Estimation theory | Warenbörse | Commodity exchange | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012438364