The contribution of jump signs and activity to forecasting stock price volatility
Ruijun Bu, Rodrigo Hizmeri, Marwan Izzeldin, Anthony Murphy, Mike Tsionas
| Year of publication: |
2023
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| Authors: | Bu, Ruijun ; Hizmeri, Rodrigo ; Izzeldin, Marwan ; Murphy, Anthony ; Tsionas, Efthymios G. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 70.2023, p. 144-164
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| Subject: | Business sampling | Calendar sampling | Jump measures | Market microstructure noise | Model averaging | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stichprobenerhebung | Sampling | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Noise Trading | Noise trading | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2022.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014423623