Forecasting stock volatility using time-distance weighting fundamental’s shocks
Year of publication: |
2024
|
---|---|
Authors: | Mei, Xueting ; Wang, Xinyu |
Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 65.2024, Art.-No. 105632, p. 1-10
|
Subject: | Macro shocks | Mixed-frequency modeling | Time-distance weighting function | Volatility forecasting | Theorie | Theory | Volatilität | Volatility | Schock | Shock | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätzung | Estimation |
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