Predictive models for disaggregate stock market volatility
Year of publication: |
August 2017
|
---|---|
Authors: | Chong, Terence Tai-Leung ; Ling, Shiyun |
Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 31.2017, 3, p. 261-288
|
Subject: | Industry-level stock return volatility | Out-of-sample forecast | Granger causality | Schätzung | Estimation | Volatilität | Volatility | Theorie | Theory | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Kausalanalyse | Causality analysis | Aktienmarkt | Stock market | Börsenkurs | Share price | ARCH-Modell | ARCH model |
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