Stock market volatility forecasting : do we need high-frequency data?
Štefan Lyócsa, Peter Molnár, Tomáš Výrost
| Year of publication: |
2021
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|---|---|
| Authors: | Lyócsa, Štefan ; Molnár, Peter ; Výrost, Tomáš |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 3, p. 1092-1110
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| Subject: | Forecasting | HAR model | High-low range | Realized volatility | Volatility | Volatilität | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Aktienmarkt | Stock market | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | 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.ijforecast.2020.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012794812