Does VPIN provide predictive information for realized volatility forecasting : evidence from Chinese stock index futures market
Year of publication: |
2023
|
---|---|
Authors: | Wen, Conghua ; Jia, Fei ; Hao, Jianli |
Published in: |
China finance review international. - Bingley : Emerald, ISSN 2044-1401, ZDB-ID 2589380-4. - Vol. 13.2023, 2, p. 285-303
|
Subject: | Equity futures | HAR model | Realized volatility | Trading behavior | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Index-Futures | Index futures | China | ARCH-Modell | ARCH model | Prognose | Forecast | Aktienmarkt | Stock market |
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