Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?
Štefan Lyócsa, Neda Todorova
| Year of publication: |
2020
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|---|---|
| Authors: | Lyócsa, Štefan ; Todorova, Neda |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 2, p. 628-645
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| Subject: | High frequency data | Realized volatility | Overnight volatility | Forecasting | Market risk | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Börsenkurs | Share price | Schätzung | Estimation | USA | United States |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1310-1311 |
| Other identifiers: | 10.1016/j.ijforecast.2019.08.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012415313