Forecasting stock volatility using after-hour information : evidence from the Australian Stock Exchange
Nirodha I. Jayawardena, Neda Todorova, Bin Li, Jen-Je Su
| Year of publication: |
January 2016
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|---|---|
| Authors: | Jayawardena, Nirodha I. ; Todorova, Neda ; Li, Bin ; Su, Jen-je |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 52.2016, part B, p. 592-608
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| Subject: | High frequency data | Realized volatility | Overnight volatility | Forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Australien | Australia | Börsenkurs | Share price | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.10.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011642932