Volatility forecast of stock indices by model averaging using high-frequency data
Chengyang Wang, Yoshihiko Nishiyama
| Year of publication: |
November 2015
|
|---|---|
| Authors: | Wang, Chengyang ; Nishiyama, Yoshihiko |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 40.2015, p. 324-337
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| Subject: | Volatility forecasting | Realized measure | High-frequency data | Forecasting evaluation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.02.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011573818