Prediction of volatility based on realized-GARCH-kernel-type models : evidence from China and the U.S.
Jiazhen Wang, Yuexiang Jiang, Yanjian Zhu, Jing Yu
| Year of publication: |
2020
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| Authors: | Wang, Jiazhen ; Jiang, Yuexiang ; Zhu, Yanjian ; Yu, Jing |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 91.2020, p. 428-444
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| Subject: | Realized volatility | Realized-GARCH-Kernel-type models | Semiparametric kernel density estimator | China | Volatilität | Volatility | USA | United States | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Nichtparametrische Schätzung | Nonparametric estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2020.06.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012429110