Does the US stock market information matter for European equity market volatility: a multivariate perspective?-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Does the US stock market information matter for European equity market volatility: a multivariate perspective?

Published:2022-06-17 Issue:58 Volume:54 Page:6726-6743
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Tang Yusui¹^ORCID,Ma Feng²^ORCID,Wahab M. I. M.³,Wei Yu²⁴^ORCID

Affiliation:

1. School of Economics, Southwest Minzu University, Chengdu, China

2. School of Economics & Management, Southwest Jiaotong University, Chengdu, China

3. Department of Mechanical and Industrial Engineering, Ryerson University, Toronto, Canada

4. School of Finance, Yunnan University of Finance and Economics, Kunming, China

Funder

Southwest Minzu University Research Startup Funds

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2022.2081663

Reference87 articles.

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

2. The distribution of realized stock return volatility

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

4. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications

5. Rolling-Sample Volatility Estimators

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models;The North American Journal of Economics and Finance;2024-01

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

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3