Improving volatility forecasting based on Chinese volatility index information : evidence from CSI 300 index and futures markets
Gaoxiu Qiao, Yuxin Teng, Weiping Li, Wenwen Liu
| Year of publication: |
2019
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| Authors: | Qiao, Gaoxiu ; Teng, Yuxin ; Li, Weiping ; Liu, Wenwen |
| 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. 49.2019, p. 133-151
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| Subject: | CSI 300 index and futures | Realized volatility forecasting | Time-varying coefficients HAR models | Volatility index information | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Index-Futures | Index futures | Aktienindex | Stock index | Index | Index number | China | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.04.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012269160