Liquidity and realized covariance forecasting : a hybrid method with model uncertainty
Year of publication: |
2023
|
---|---|
Authors: | Qiao, Gaoxiu ; Cao, Yangli ; Ma, Feng ; Li, Weiping |
Subject: | CSI 300 index and futures markets | Liquidity | Model uncertainty | Realized covariance | Weighted average windows method | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Theorie | Theory | Liquidität | Risiko | Risk | Marktliquidität | Market liquidity | Index-Futures | Index futures | Modellierung | Scientific modelling |
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