Global equity market volatilities forecasting : a comparison of leverage effects, jumps, and overnight information
Chao Liang, Yan Li, Feng Ma, Yu Wei
| Year of publication: |
2021
|
|---|---|
| Authors: | Liang, Chao ; Li, Yan ; Ma, Feng ; Wei, Yu |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 75.2021, p. 1-16
|
| Subject: | Global equity market | Jumps | Leverage effects | Overnight information | Volatility forecasting | Volatilität | Volatility | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Börsenkurs | Share price | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2021.101750 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012804153