Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Burak Korkusuz, Dimos Kambouroudis, David G. McMillan
| Year of publication: |
2023
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| Authors: | Korkusuz, Burak ; Kambouroudis, Dimos ; McMillan, David G. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 55.2023, 2, p. 1-7
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| Subject: | G7 stock markets | HAR-RV-X model | MCS | Realized volatility | Rolling methods | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103992 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014473523