Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
https://link.springer.com/content/pdf/10.1007/s10690-023-09415-w.pdf
Reference23 articles.
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2. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61(1), 43–76.
3. Blair, B. J., Poon, S. H., & Taylor, S. J. (2001). Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns. Journal of Econometrics, 105(1), 5–26.
4. Chan, W. H., & Maheu, M. (2002). Conditional jump dynamics in stock market returns. Journal of Business and Economic Statistics, 20(3), 377–389.
5. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7(2), 174–196.
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