Realized volatility forecast of stock index under structural breaks
Ke Yang, Langnan Chen and Fengping Tian
| Year of publication: |
2015
|
|---|---|
| Authors: | Yang, Ke ; Chen, Langnan ; Tian, Fengping |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 34.2015, 1, p. 57-82
|
| Subject: | realized volatility | ARFIMAX-FIGARCH model | structural breaks | combination forecasts | estimation window | Theorie | Theory | Strukturbruch | Structural break | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011305343