Liquidity and realized covariance forecasting: a hybrid method with model uncertainty-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Liquidity and realized covariance forecasting: a hybrid method with model uncertainty

Published:2022-05-21 Issue:1 Volume:64 Page:437-463
ISSN:0377-7332
Container-title:Empirical Economics
language:en
Short-container-title:Empir Econ

Author:

Qiao Gaoxiu^ORCID,Cao Yangli,Ma Feng^ORCID,Li Weiping

Funder

National Natural Science Foundation of China

Humanities and Social Science Fund of Ministry of Education of China

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s00181-022-02248-y.pdf

Reference59 articles.

1. Akkoc U, Civcir I (2019) Dynamic linkages between strategic commodities and stock market in Turkey: evidence from SVAR-DCC-GARCH model. Resour Policy 62:231–239

2. Abdi F, Ranaldo A (2017) A simple estimation of bid-ask spreads from daily close, high, and low prices. Social Science Electronic Publishing, Rochester

3. Amihud Y (2002) Illiquidity and stock returns: cross-section and time-series effects. J Financ Mark 5(1):31–56

4. Andersen TG, Bollerslev T (1998) Answering the skeptics: yes, standard volatility models do provide accurate forecasts. Int Econ Rev 39:885–905

5. Andersen TG, Bollerslev T, Diebold FX, Labys P (2003) Modeling and forecasting realized volatility. Econometrica 71:529–626

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP