Forecasting equity index volatility by measuring the linkage among component stocks
Yue Qiu, Tian Xie, Jun Yu and Qiankun Zhou
| Year of publication: |
2022
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|---|---|
| Authors: | Qiu, Yue ; Xie, Tian ; Yu, Jun ; Zhou, Qiankun |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 1, p. 160-186
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| Subject: | volatility forecasting | heterogeneous autoregression | common correlated effect | factor analysis | random forest | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Faktorenanalyse | Factor analysis | Korrelation | Correlation | Börsenkurs | Share price | Theorie | Theory | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012878191