Predicting expected idiosyncratic volatility : empirical evidence from ARFIMA, HAR, and EGARCH models
Chuxuan Xiao, Winifred Huang, David P. Newton
| Year of publication: |
2024
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|---|---|
| Authors: | Xiao, Chuxuan ; Huang, Winifred ; Newton, David P. |
| Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 63.2024, 3, p. 979-1006
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| Subject: | ARFIMA | Asset Pricing | EGARCH | HAR | Idiosyncratic volatility | Time-varying | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | CAPM | ARMA-Modell | ARMA model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-024-01279-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015178466