Forecasting the realized volatility of stock markets : the roles of jumps and asymmetric spillovers
Abdel Razzaq Al Rababaa, Walid Mensi, David McMillan, Sang Hoon Kang
| Year of publication: |
2025
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| Authors: | Al Rababa'a, Abdel Razzaq ; Mensi, Walid ; McMillan, David G. ; Kang, Sang Hoon |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 44.2025, 4, p. 1294-1325
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| Subject: | asymmetric spillover | high-moments spillover | jumps | realized volatility | stocks | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Schätzung | Estimation | Börsenkurs | Share price | Theorie | Theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3219 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464645