Stock market volatility predictability in a data-rich world : a new insight
Feng Ma, Jiqian Wang, M.I.M. Wahab, Yuanhui Ma
| Year of publication: |
2023
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|---|---|
| Authors: | Ma, Feng ; Wang, Jiqian ; Wahab, M. I. M. ; Ma, Yuanhui |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 4, p. 1804-1819
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| Subject: | Equity volatility forecasting | Forecast combination | Markov regime switching | Shrinkage method | Variance risk premium | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Risikoprämie | Risk premium | Aktienmarkt | Stock market | Börsenkurs | Share price | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2022.08.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014465355