Does VPIN provide predictive information for realized volatility forecasting : evidence from Chinese stock index futures market
Conghua Wen, Fei Jia and Jianli Hao
| Year of publication: |
2023
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|---|---|
| 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
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| Subject: | Equity futures | HAR model | Realized volatility | Trading behavior | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Index-Futures | Index futures | China | Prognose | Forecast | ARCH-Modell | ARCH model | Japan |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/CFRI-05-2020-0049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014312403