Multivariate volatility forecasts for stock market indices
Ines Wilms, Jeroen Rombouts, Christophe Croux
| Year of publication: |
2021
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|---|---|
| Authors: | Wilms, Ines ; Rombouts, Jeroen V. K. ; Croux, Christophe |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 2, p. 484-499
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| Subject: | International stock markets | Lasso | Option-implied variance | Realized variance | Volatility spillover | Volatilität | Volatility | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Großbritannien | United Kingdom | Varianzanalyse | Analysis of variance | Portfolio-Management | Portfolio selection | Japan | Multivariate Analyse | Multivariate analysis | Aktienindex | Stock index | Spillover-Effekt | Spillover effect | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2020.06.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012792845