Forecasting Chinese stock market volatility with option-implied risk aversion : evidence from extended realized EGARCH-MIDAS approach
Xinyu Wu, Jia Qian, Xiaohan Zhao
| Year of publication: |
2024
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| Authors: | Wu, Xinyu ; Qian, Jia ; Zhao, Xiaohan |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 2013015-6. - Vol. 83.2024, Art.-No. 102245, p. 1-23
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| Subject: | Extreme shocks | Option-implied risk aversion | Realized EGARCH-MIDAS model | Volatility forecasting | Volatility timing | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikoaversion | Risk aversion | Schätzung | Estimation | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | China | Schock | Shock | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2023.102245 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014491122