How does inter-industry spillover improve the performance of volatility forecasting?
Bin Liu, Wen Xiao, Xingting Zhu
| Year of publication: |
2023
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|---|---|
| Authors: | Liu, Bin ; Xiao, Wen ; Zhu, Xingting |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 65.2023, p. 1-13
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| Subject: | Inter-industry spillovers | MIDAS-GARCH | Volatility forecasting | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Industrieforschung | Industrial research | 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.najef.2023.101878 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014309851