Harnessing the decomposed realized measures for volatility forecasting : evidence from the US stock market
Botao Lu, Feng Ma, Jiqian Wang, Hui Ding, M. I. M. Wahab
| Year of publication: |
2021
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|---|---|
| Authors: | Lu, Botao ; Ma, Feng ; Wang, Jiqian ; Ding, Hui ; Wahab, M. I. M. |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 72.2021, p. 672-689
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| Subject: | Decomposed realized measures | MIDAS model | The US stock market | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | USA | United States | Messung | Measurement | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2020.12.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012672074