Do short-term market swings improve realized volatility forecasts?
Junyu Zhang, Xinfeng Ruan, Jin E. Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Zhang, Junyu ; Ruan, Xinfeng ; Zhang, Jin E. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 4, p. 1-10
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| Subject: | Realized volatility | VIX1D index | Volatility prediction | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate | Theorie | Theory | Zeitreihenanalyse | Time series analysis | 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.2023.104629 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014632688