Qu, Hui; He, Mengying - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-21
informative price interval data and building interval regression models for volatility forecasting. To characterize the … Markov regime switching structure in the benchmark interval regression model, respectively, and thus propose three extended … models. Our empirical examination on S&P 500 index shows that: (1) the proposed interval regression models significantly …