Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Xunxiao Wang, Chongfeng Wu, Weidong Xu
| Year of publication: |
July-September 2015
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| Authors: | Wang, Xunxiao ; Wu, Chongfeng ; Xu, Weidong |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 3, p. 609-619
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| Subject: | Volatility forecasting | Nonparametric methods | Role playing | Robustness | Loss function | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Handelsvolumen der Börse | Trading volume | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2014.10.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011474428