The term structure of volatility predictability
Xingyi Li, Valeriy Zakamulin
| Year of publication: |
2020
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|---|---|
| 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
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| 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 | ARCH-Modell | ARCH model | Schätzung | Estimation | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis |
| 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 |
Persistent link: https://www.econbiz.de/10012415339