Good volatility, bad volatility, and time series return predictability
Honghai Yu, Xianfeng Hao and Yudong Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Yu, Honghai ; Hao, Xianfeng ; Wang, Yudong |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 28.2022, 6, p. 571-595
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| Subject: | excess returns | machine learning | realized semivariance | Return forecasting | weighted least squares | Volatilität | Volatility | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Künstliche Intelligenz | Artificial intelligence | Kapitalmarktrendite | Capital market returns | Prognose | Forecast | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2021.1946119 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013373294