Volatility of volatility and vix forecasting : new evidence based on jumps, the short-term and long-term volatility
Gaoxiu Qiao, Wanmei Cui, Yijie Zhou, Chao Liang
| Year of publication: |
2025
|
|---|---|
| Authors: | Qiao, Gaoxiu ; Cui, Wanmei ; Zhou, Yijie ; Liang, Chao |
| Subject: | high-frequency data | jumps | short-term and long-term volatility | VIX forecasting | wavelet analysis | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Schätzung | Estimation | Aktienindex | Stock index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22553 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015376387