Forecasting the Chinese stock market volatility with international market volatilities : the role of regime switching
Yaojie Zhang, Likun Lei, Yu Wei
| Year of publication: |
2020
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|---|---|
| Authors: | Zhang, Yaojie ; Lei, Likun ; Wei, Yu |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 52.2020, p. 1-21
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| Subject: | Volatility forecasting | Chinese stock market | International markets | HAR model | Regime switching | Volatilität | Volatility | Aktienmarkt | Stock market | China | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101145 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012654704