Zhang, Wei; Yan, Kai; Shen, Dehua - In: Financial innovation : FIN 7 (2021), pp. 1-31
This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index. Furthermore, the predictability of the Baidu Index is found to rise as the forecasting...
