Modelling and forecasting volatility with high-frequency and VIX information: a component realized EGARCH model with VIX-Reference-Cited by-同舟云学术

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Modelling and forecasting volatility with high-frequency and VIX information: a component realized EGARCH model with VIX

Published:2022-10-31 Issue:20 Volume:55 Page:2273-2291
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Wu Xinyu¹,Xia Michelle²,Li Xindan³

Affiliation:

1. School of Finance, Anhui University of Finance and Economics, Bengbu, China

2. Department of Statistics and Actuarial Science, Northern Illinois University, DeKalb, IL, USA

3. School of Management and Engineering, Nanjing University, Nanjing, China

Funder

National Natural Science Foundation of China

University Natural Science Research Project of Anhui Province

Southern Jiangsu Capital Markets Research Center

Anhui University Collaborative Innovation Project

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2022.2102570

Reference64 articles.

1. The Distribution of Realized Exchange Rate Volatility

2. Andersen, T. G., D. Dobrev, and E. Schaumburg (2008). Duration-Based Volatility Estimation. Working Paper.

3. Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models

4. Fractionally integrated generalized autoregressive conditional heteroskedasticity

5. Banulescu-Radu, D., P. R. Hansen, Z. Huang, and M. Matei (2019). Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach. Working Paper.

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