Volatility forecasting: long memory, regime switching and heteroscedasticity-Reference-Cited by-同舟云学术

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Volatility forecasting: long memory, regime switching and heteroscedasticity

Published:2019-03-20 Issue:38 Volume:51 Page:4151-4163
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Ma Feng¹,Lu Xinjie¹,Yang Ke²,Zhang Yaojie³^ORCID

Affiliation:

1. School of Economics & Management, Southwest Jiaotong University, Sichuan, China

2. School of Economics and Commerce, South China University of Technology

3. School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China

Funder

Fundamental Research Funds for the Central Universities, and the National Social Science Foundation of China

National Social Science Foundation of China

the humanities and social science fund of the Ministry of Education

the Fundamental Research Funds for the Central Universities

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2019.1589645

Reference74 articles.

1. Out of sample forecasts of quadratic variation

2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

3. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

4. The distribution of realized stock return volatility

5. Modeling and Forecasting Realized Volatility

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1. Weighting Approaches in Data Mining and Knowledge Discovery: A Review;Neural Processing Letters;2023-07-01

2. Financial stress and returns predictability: Fresh evidence from China;Pacific-Basin Finance Journal;2023-04

3. Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index;Research in International Business and Finance;2023-04

4. Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks;Financial Innovation;2022-05-02

5. Forecasting China's stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?;International Journal of Finance & Economics;2022-03-28

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