The information content of implied volatility and jumps in forecasting volatility : evidence from the Shanghai gold futures market
Xingguo Luo, Shihua Qin, Zinan Ye
| Year of publication: |
November 2016
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|---|---|
| Authors: | Luo, Xingguo ; Qin, Shihua ; Ye, Zinan |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 19.2016, p. 105-111
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| Subject: | Gold futures | Realized volatility | Volatility forecasting | Volatility Index | Volatilität | Volatility | Gold | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Shanghai | Index-Futures | Index futures | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.06.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011657556