VIX forecasting based on GARCH-type model with observable dynamic jumps : a new perspective
Gaoxiu Qiao, Jiyu Yang, Weiping Li
| Year of publication: |
2020
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|---|---|
| Authors: | Qiao, Gaoxiu ; Yang, Jiyu ; Li, Weiping |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 53.2020, p. 1-19
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| Subject: | GARCH-type models | High frequency data | Observable dynamic jumps | VIX forecasting | VIX information | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | 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.najef.2020.101186 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012632195