Predicting stock realized variance based on an asymmetric robust regression approach
Year of publication: |
2023
|
---|---|
Authors: | Zhang, Yaojie ; He, Mengxi ; Zhao, Yuqi ; Hao, Xianfeng |
Published in: |
Bulletin of economic research. - Oxford : Wiley-Blackwell, ISSN 1467-8586, ZDB-ID 1473655-X. - Vol. 75.2023, 4, p. 1022-1047
|
Subject: | asymmetric effect | heterogeneous autoregressive realized volatility | out-of-sample forecasting | robust regression model | stock market volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Börsenkurs | Share price | Schätzung | Estimation | Kapitaleinkommen | Capital income | Theorie | Theory | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Robustes Verfahren | Robust statistics | Autokorrelation | Autocorrelation |
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