Stock returns, quantile autocorrelation, and volatility forecasting
Year of publication: |
2021
|
---|---|
Authors: | Zhao, Yixiu ; Upreti, Vineet ; Cai, Yuzhi |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 73.2021, p. 1-21
|
Subject: | Quantile autoregression | Stock returns | Volatility asymmetry | Volatility forecasting | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Autokorrelation | Autocorrelation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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