Which component of air quality index drives stock price volatility in China : a decomposition-based forecasting method
Jize Yu, Li Zhang, Lijuan Peng, Rui Wu
| Year of publication: |
2023
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|---|---|
| Authors: | Yu, Jize ; Zhang, Li ; Peng, Lijuan ; Wu, Rui |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 51.2023, p. 1-9
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| Subject: | Air quality index | GARCH-MIDAS | JEL classification: C22 | STL decomposition | Stock prices volatility forecast | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Luftverschmutzung | Air pollution | China | Aktienindex | Stock index | ARCH-Modell | ARCH model | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103406 [DOI] |
| Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; G17 - Financial Forecasting |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014286581