Forecasting trading-session return volatility in Taiwan futures market : a periodic regime switching with jump approach
Yi-Hao Lai, Yi-Chiuan Wang, Yu-Ching Chang
| Year of publication: |
2024
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| Authors: | Lai, Yi-Hao ; Wang, Yi-Chiuan ; Chang, Yu Ching |
| Published in: |
Asia Pacific financial markets. - [Erscheinungsort nicht ermittelbar] : Proquest, ISSN 1573-6946, ZDB-ID 2009834-0. - Vol. 31.2024, 2, p. 285-305
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| Subject: | Jump process | Out-of-sample | Periodic regime switching model | Volatility forecasting | Volatilität | Volatility | Taiwan | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-023-09415-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014548365