Efficient predictability of stock return volatility : the role of stock market implied volatility
Zhifeng Dai, Huiting Zhou, Fenghua Wen, Shaoyi He
| Year of publication: |
2020
|
|---|---|
| Authors: | Dai, Zhifeng ; Zhou, Huiting ; Wen, Fenghua ; He, Shaoyi |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 52.2020, p. 1-8
|
| Subject: | Stock volatility | Stock market implied volatility | Predictive regression | Out-of-sample performance | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Börsenkurs | Share price | Theorie | Theory | Schätzung | Estimation | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101174 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012654913