Forecasting stock market volatility : an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
Xinyu Wu, Yang Han and Chaoqun Ma
| Year of publication: |
2021
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|---|---|
| Authors: | Wu, Xinyu ; Han, Yang ; Ma, Chaoqun |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 23.2021, 6, p. 1-35
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| Subject: | conditional autoregressive range (CARR) | volatility asymmetry | mixed data sampling (MIDAS) | volatility persistence | realized volatility measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Stichprobenerhebung | Sampling | Börsenkurs | Share price | Aktienmarkt | Stock market | Autokorrelation | Autocorrelation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2021.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013473133