Increasing the information content of realized volatility forecasts
Razvan Pascalau and Ryan Poirier
| Year of publication: |
2023
|
|---|---|
| Authors: | Pascalau, Razvan ; Poirier, Ryan |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 4, p. 1064-1098
|
| Subject: | realized variance | rolling window | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Informationswert | Information value | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model | Börsenkurs | Share price | Theorie | Theory | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbab028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014391443