Do short-term market swings improve realized volatility forecasts?
Year of publication: |
2023
|
---|---|
Authors: | Zhang, Junyu ; Ruan, Xinfeng ; Zhang, Jin E. |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 4, p. 1-10
|
Subject: | Realized volatility | VIX1D index | Volatility prediction | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate | Prognose | Forecast | Aktienindex | Stock index |
-
Optimal prediction periods for new and old volatility indexes in USA and German markets
Giner, Javier, (2016)
-
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda, (2023)
-
Which sentiment index is more informative to forecast stock market volatility? : evidence from China
Liang, Chao, (2020)
- More ...
-
Risk-neutral moments and return predictability : international evidence
Zhang, Junyu, (2023)
-
The implied volatility smirk of commodity options
Jia, Xiaolan, (2020)
-
Implied volatility smirk in the Australian dollar market
Stuart, Connor J.A., (2021)
- More ...