Macroeconomic fundamentals, jump dynamics and expected volatility
Zhiyuan Pan, Ruijun Bu, Li Liu and Yudong Wang
Year of publication: |
2020
|
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Authors: | Pan, Zhiyuan ; Bu, Ruijun ; Liu, Li ; Wang, Yudong |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 8, p. 1345-1371
|
Subject: | Jump | Loss function | Macroeconomic activity | Portfolio | Volatility | Theorie | Theory | Volatilität | Portfolio-Management | Portfolio selection | Makroökonomik | Macroeconomics | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model |
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