Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR
Yanhui Chen; Kin Keung Lai; Jiangze Du
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Yanhui ; Lai, Kin Keung ; Du, Jiangze |
| Published in: |
Eurasian economic review : a journal in applied macroeconomics and finance. - Heidelberg : Springer, ISSN 2147-429X, ZDB-ID 2646817-7. - Vol. 4.2014, 2, p. 113-132
|
| Subject: | Implied volatility index | VHSI | ARIMA | HAR | Day-of-week effect | Spillover effect | Volatilität | Volatility | Spillover-Effekt | Theorie | Theory | Börsenkurs | Share price | Hongkong | Hong Kong | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Schätzung | Estimation | ARCH-Modell | ARCH model | ARMA-Modell | ARMA model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.1007/s40822-015-0013-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010514801