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Forecasting volatility with price limit hits : evidence from Chinese stock market

Chu, Xiaojun; Qiu, Jianying - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 5, pp. 1034-1050

Persistent link: https://www.econbiz.de/10012210669

Which sentiment index is more informative to forecast stock market volatility? : evidence from China

Liang, Chao; Tang, Linchun; Li, Yan; Wei, Yu - In: International review of financial analysis 71 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012437093

Forecasting stock market realized volatility : the role of investor attention to the price of petroleum products

Li, Dakai - In: International review of economics & finance : IREF 90 (2024), pp. 115-122

Persistent link: https://www.econbiz.de/10014446891

Investor sentiment based on scaled PCA method : a powerful predictor of realized volatility in the Chinese stock market

Song, Ziyu; Gong, Xiaomin; Zhang, Cheng; Yu, Changrui - In: International review of economics & finance : IREF 83 (2023), pp. 528-545

Persistent link: https://www.econbiz.de/10014246745

Forecasting aggregate stock market volatility with industry volatilities : the role of spillover index

He, Mengxi; Wang, Yudong; Zeng, Qing; Zhang, Yaojie - In: Research in international business and finance 65 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014435752

Can the Baidu Index predict realized volatility in the Chinese stock market?

Zhang, Wei; Yan, Kai; Shen, Dehua - In: Financial innovation : FIN 7 (2021), pp. 1-31

that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index. Furthermore, the predictability of …-term impact on volatility is less persistent. Our findings should be expected to influence investors interested in constructing … trading strategies based on realized volatility. …

Persistent link: https://www.econbiz.de/10012418517