Forecasting stock return volatility in data-rich environment : a new powerful predictor
Zhifeng Dai, Xiaotong Zhang, Tingyu Li
| Year of publication: |
2023
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| Authors: | Dai, Zhifeng ; Zhang, Xiaotong ; Li, Tingyu |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 64.2023, p. 1-16
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| Subject: | Asset allocation | Out-of-sample forecast | Partial least squares approach | Stock return volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Theorie | Theory | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Prognose | Forecast | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101845 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014246821