VIX forecasting based on GARCH-type model with observable dynamic jumps : a new perspective
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 |
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