Liquidity and realized covariance forecasting : a hybrid method with model uncertainty
Gaoxiu Qiao, Yangli Cao, Feng Ma, Weiping Li
| Year of publication: |
2023
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|---|---|
| Authors: | Qiao, Gaoxiu ; Cao, Yangli ; Ma, Feng ; Li, Weiping |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 64.2023, 1, p. 437-463
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| Subject: | CSI 300 index and futures markets | Liquidity | Model uncertainty | Realized covariance | Weighted average windows method | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | Korrelation | Correlation | Liquidität | Theorie | Theory | Risiko | Risk | Volatilität | Volatility | Marktliquidität | Market liquidity |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-022-02248-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014226295