Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data
Year of publication: |
2023
|
---|---|
Authors: | Niu, Zibo ; Demirer, Rıza ; Suleman, Muhammad Tahir ; Zhang, Hongwei |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 6, p. 1309-1328
|
Subject: | asymmetry | cross-sectional variance | HAR model | stock market | volatility forecasting | Volatilität | Volatility | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | ARCH-Modell | ARCH model |
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