Forecasting aggregate stock market volatility with industry volatilities : the role of spillover index
Year of publication: |
2023
|
---|---|
Authors: | He, Mengxi ; Wang, Yudong ; Zeng, Qing ; Zhang, Yaojie |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 65.2023, p. 1-18
|
Subject: | Investor sentiment | Industry volatility | Portfolio exercise | Spillover index | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Spillover-Effekt | Spillover effect | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Theorie | Theory | Börsenkurs | Share price | Aktienindex | Stock index |
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