Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data
Zibo Niu, Riza Demirer, Muhammad Tahir Suleman, Hongwei Zhang
| Year of publication: |
2023
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| Authors: | Niu, Zibo ; Demirer, Rıza ; Suleman, Muhammad Tahir ; Zhang, Hongwei |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 6, p. 1309-1328
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| Subject: | asymmetry | cross-sectional variance | HAR model | stock market | volatility forecasting | Volatilität | Volatility | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2959 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014338888