A Comparison between Parametric and Nonparametric Volatility Forecasting of Stock Index Futures in China
Author:
Affiliation:
1. Financial Mathematics, Xi’an Jiaotong-Liverpool University, Suzhou, China
Funder
Xi’an Jiaotong-Liverpool University
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/1540496X.2021.2002142
Reference28 articles.
1. Jump-robust volatility estimation using nearest neighbor truncation
2. 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
3. Modeling tick-by-tick realized correlations
4. Power and Bipower Variation with Stochastic Volatility and Jumps
5. Are combination forecasts of S&P 500 volatility statistically superior?
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