Predictive models for disaggregate stock market volatility
Terence Tai-Leung Chong, Shiyu Lin
| Year of publication: |
August 2017
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|---|---|
| Authors: | Chong, Terence Tai-Leung ; Ling, Shiyun |
| Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 31.2017, 3, p. 261-288
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| Subject: | Industry-level stock return volatility | Out-of-sample forecast | Granger causality | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kausalanalyse | Causality analysis | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Börsenkurs | Share price | Prognose | Forecast | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-017-0291-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011951759