Predicting the volatility of the iShares China Large-Cap ETF : what is the role of the SSE 50 ETF?
Fangfei Zhu, Xingguo Luo, Xuejun Jin
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhu, Fangfei ; Luo, Xingguo ; Jin, Xuejun |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 57.2019, p. 1-12
|
| Subject: | FXI | Out-of-sample | SSE 50 ETF | Volatility predictability | Volatilität | Volatility | Indexderivat | Index derivative | China | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2019.101192 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012170435