Liu, Zhichao; Ma, Feng; Long, Yujia - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 50-61
In this study, we examine the daily returns and daily range returns dependent on close–close and the high–low prices when forecasting multifractal volatility in the Chinese stock market. In in-sample forecasting we find that both the daily returns and range returns have a significant impact...
