Forecasting global stock market volatilities : A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set
Zhao-Chen Li, Chi Xie, Gang-Jin Wang, You Zhu, Zhi-Jian Zeng, Jue Gong
| Year of publication: |
2024
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|---|---|
| Authors: | Li, Zhao-Chen ; Chi, Xie ; Wang, Gang-Jin ; Zhu, You ; Zeng, Zhi-Jian ; Gong, Jue |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 93.2024, 2, p. 673-711
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| Subject: | Global stock market volatilities | HAR framework | Out-of-sample forecasts | Predictor selection | Shrinkage model | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognose | Forecast | Welt | World | Börsenkurs | Share price | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2024.05.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014535603