Realized skewness and the short-term predictability for aggregate stock market volatility
Year of publication: |
2021
|
---|---|
Authors: | Zhang, Zhikai ; He, Mengxi ; Zhang, Yaojie ; Wang, Yudong |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 103.2021, p. 1-13
|
Subject: | Forecast performance | Predictive regression | Realized skewness | Risk transmission | Stock volatility | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Aktienmarkt | Stock market | Zeit | Time | Theorie | Theory | Aktienindex | Stock index |
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