Predicting stock realized variance based on an asymmetric robust regression approach
Yaojie Zhang, Mengxi He, Yuqi Zhao, Xianfeng Hao
| Year of publication: |
2023
|
|---|---|
| Authors: | Zhang, Yaojie ; He, Mengxi ; Zhao, Yuqi ; Hao, Xianfeng |
| Published in: |
Bulletin of economic research. - Oxford : Wiley-Blackwell, ISSN 1467-8586, ZDB-ID 1473655-X. - Vol. 75.2023, 4, p. 1022-1047
|
| Subject: | asymmetric effect | heterogeneous autoregressive realized volatility | out-of-sample forecasting | robust regression model | stock market volatility | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Schätzung | Estimation | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Robustes Verfahren | Robust statistics | Theorie | Theory | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/boer.12392 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014435626