Realized skewness and the short-term predictability for aggregate stock market volatility
Zhikai Zhang, Mengxi He, Yaojie Zhang, Yudong Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Zhang, Zhikai ; He, Mengxi ; Zhang, Yaojie ; Wang, Yudong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 103.2021, p. 1-13
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| Subject: | Forecast performance | Predictive regression | Realized skewness | Risk transmission | Stock volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Börsenkurs | Share price | Theorie | Theory | Aktienindex | Stock index | Prognose | Forecast | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Zeit | Time | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2021.105614 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013163911