Volatility forecast with the regularity modifications
Qinwen Zhu, Xundi Diao, Chongfeng Wu
| Year of publication: |
2023
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|---|---|
| Authors: | Zhu, Qinwen ; Diao, Xundi ; Wu, Chongfeng |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 1, p. 1-10
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| Subject: | Autoregressive rough volatility model | High frequency data | VIX index | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | ARCH-Modell | ARCH model | Theorie | Theory | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014582373