Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets
Feng Ma, M. I. M. Wahab, Yaojie Zhang
| Year of publication: |
2019
|
|---|---|
| Authors: | Ma, Feng ; Wahab, M. I. M. ; Zhang, Yaojie |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 54.2019, p. 132-146
|
| Subject: | G7 stock markets | Jumps | Partial least squares | Realized volatility | Volatility forecasting | Volatilität | Volatility | Aktienmarkt | Stock market | USA | United States | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Börsenkurs | Share price | Schätzung | Estimation | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2019.02.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012133635