Stock returns, quantile autocorrelation, and volatility forecasting
Yixiu Zhao, Vineet Upreti, Yuzhi Cai
| Year of publication: |
2021
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|---|---|
| Authors: | Zhao, Yixiu ; Upreti, Vineet ; Cai, Yuzhi |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 73.2021, p. 1-21
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| Subject: | Quantile autoregression | Stock returns | Volatility asymmetry | Volatility forecasting | Volatilität | Volatility | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Autokorrelation | Autocorrelation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2020.101599 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012803612