Do intraday data contain more information for volatility forecasting? : evidence from the Chinese commodity futures market
Ying Jiang, Xiaoquan Liu and Wuyi Ye
| Year of publication: |
2015
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|---|---|
| Authors: | Jiang, Ying ; Liu, Xiaoquan ; Ye, Wuyi |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 22.2015, 1/3, p. 218-222
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| Subject: | high-frequency data | realized volatility | forecast evaluation | GARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | China | Zeitreihenanalyse | Time series analysis | Rohstoffderivat | Commodity derivative | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010481970