The term structure of volatility predictability
Year of publication: |
2020
|
---|---|
Authors: | Li, Xingyi ; Zakamulin, Valeriy |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 2, p. 723-737
|
Subject: | Spot volatility | Forward volatility | Volatility forecasting | High-frequency data | Forecast accuracy | Term structure | Out-of-sample forecasting | Model comparison | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zinsstruktur | Yield curve | Theorie | Theory | Prognose | Forecast | Schätzung | Estimation | ARCH-Modell | ARCH model |
Description of contents: | Description [doi.org] |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1321-1322 |
Other identifiers: | 10.1016/j.ijforecast.2019.08.010 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Forecasting Chinese stock market volatility with economic variables
Cai, Weixian, (2017)
-
Better the devil you know : improved forecasts from imperfect models
Oh, Dong Hwan, (2021)
-
Do economic variables improve bond return volatility forecasts?
Chao, Shih-Wei, (2016)
- More ...
-
The Limits to Volatility Predictability : Quantifying Forecast Accuracy Across Horizons
Zakamulin, Valeriy, (2018)
-
Stock Volatility Predictability in Bull and Bear Markets
Li, Xingyi, (2019)
-
Forecasting Stock Volatility : The Gains from Using Intraday Data
Li, Xingyi, (2018)
- More ...