The role of high-frequency data in volatility forecasting : evidence from the China stock market
Min Liu, Chien-Chiang Lee and Wei-Chong Choo
| Year of publication: |
2021
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|---|---|
| Authors: | Liu, Min ; Lee, Chien-Chiang ; Choo, Wei Chong |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 53.2021, 22, p. 2500-2526
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| Subject: | Volatility forecasting | high-frequency data | GARCH | distribution | China | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | 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: | 10.1080/00036846.2020.1862747 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012501284