Volatility forecast of country ETF : the sequential information arrival hypothesis
Tseng-Chan Tseng, Chien-Chiang Lee, Mei-Ping Chen
| Year of publication: |
June 2015
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|---|---|
| Authors: | Tseng, Tseng-Chan ; Lee, Chien-Chiang ; Chen, Mei-Ping |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 47.2015, p. 228-234
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| Subject: | Exchange-traded funds | Volatility forecast | Sequential information arrival hypothesis | Heterogeneous autoregressive model | Realized range-based volatility | Realized range-based bi-power variance | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Index-Futures | Index futures | Autokorrelation | Autocorrelation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.02.031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011439071