A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data
Afees A. Salisu, Rangan Gupta, Ahamuefula E. Ogbonna
| Year of publication: |
2022
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| Authors: | Salisu, Afees A. ; Gupta, Rangan ; Ogbonna, Ahamuefula E. |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 1, p. 384-400
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| Subject: | forecast evaluation | HAR models | realized volatility | US stock market | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | USA | United States | Schätzung | Estimation | ARMA-Modell | ARMA model | Autokorrelation | Autocorrelation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2158 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012814585