Forecasting VIX with time-varying risk aversion
Xinyu Wu, Qizhi He, Haibin Xie
| Year of publication: |
2023
|
|---|---|
| Authors: | Wu, Xinyu ; He, Qizhi ; Xie, Haibin |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 88.2023, p. 458-475
|
| Subject: | Mixed data sampling | Realized EGARCH | Realized measure | Time-varying risk aversion | VIX forecasting | Risikoaversion | Risk aversion | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Börsenkurs | Share price | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2023.06.034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014475366