Improve volatility forecasting with realized semivariance-evidences from intra-day large data sets in Chinese
Lianqian Yin, Bo Liu & Zhen Du
| Year of publication: |
2014
|
|---|---|
| Authors: | Yin, Lianqian ; Liu, Bo ; Du, Zhen |
| Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 6.2014, 12, p. 64-70
|
| Subject: | realized semivariance | GARCH | Mincer-Zarnowitz regression | high frequency data | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | China | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Börsenkurs | Share price | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010460882