Forecasting global stock market implied volatility indices
Stavros Degiannakis, George Filis, Hossein Hassani
| Year of publication: |
2018
|
|---|---|
| Authors: | Degiannakis, Stavros ; Filis, George ; Hassani, Hossein |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 46.2018, p. 111-129
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| Subject: | ARFIMA | HAR | Holt-Winters | Implied volatility | Model Confidence Set | Model-averaged forecasts | Singular Spectrum Analysis | Stock market | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienmarkt | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARMA-Modell | ARMA model | Prognose | Forecast | ARCH-Modell | ARCH model | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2017.12.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012103431