Volatility modeling and prediction : the role of price impact

Ying Jiang, Yi Cao, Xiaoquan Liu and Jia Zhai

Year of publication:	2019
Authors:	Jiang, Ying ; Cao, Yi ; Liu, Xiaoquan ; Zhai, Jia
Subject:	Chinese stock market \| Market microstructure \| Panel vector autoregression \| Volatility modeling \| Volatilität \| Volatility \| Marktmikrostruktur \| VAR-Modell \| VAR model \| China \| Prognoseverfahren \| Forecasting model \| Aktienmarkt \| Stock market \| Panel \| Panel study \| Schätzung \| Estimation \| Börsenkurs \| Share price \| ARCH-Modell \| ARCH model

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