Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment
Zhifeng Dai, Tingyu Li, Mi Yang
| Year of publication: |
2022
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|---|---|
| Authors: | Dai, Zhifeng ; Li, Tingyu ; Yang, Mi |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 5, p. 980-996
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| Subject: | asset allocation | model confidence set | out-of-sample forecasting | shrinkage regressions | stock return volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2841 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013287893