Evaluating volatility forecasts with ultra-high-frequency data : evidence from the Australian equity market
Kai Zhang, Lurion De Mello, Mehdi Sadeghi
| Year of publication: |
February 2018
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| Authors: | Zhang, Kai ; De Mello, Lurion ; Sadeghi, Mehdi |
| Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 8.2018, 1, p. 1-27
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| Subject: | High-Frequency Volatility | Volatility Forecasting | GARCH | Volatility Forecast Evaluation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Australien | Australia | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Aktienmarkt | Stock market | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/tel.2018.81001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011842038