Volatility forecasting in the Chinese commodity futures market with intraday data
Ying Jiang, Shamim Ahmed, Xiaoquan Liu
| Year of publication: |
May 2017
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|---|---|
| Authors: | Jiang, Ying ; Ahmed, Shamim ; Liu, Xiaoquan |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 48.2017, 4, p. 1123-1173
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| Subject: | Out-of-sample predictability | Long memory time series | Futures market regulation | Realized volatility | Econometric models | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | China | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-016-0570-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011797006