Daily return distribution forecast incorporating intraday high frequency information in China’s stock market-Reference-Cited by-同舟云学术

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Daily return distribution forecast incorporating intraday high frequency information in China’s stock market

Published:2022-08-16 Issue:2 Volume:36 Page:
ISSN:1331-677X
Container-title:Economic Research-Ekonomska Istraživanja
language:en
Short-container-title:Economic Research-Ekonomska Istraživanja

Author:

Yao Yanyun¹²,Huang Qiang²,Cai Shangzhen³

Affiliation:

1. College of Business Administration, Ningbo University of Finance & Economics, Ningbo, China

2. Department of Mathematics, Shaoxing University, Shaoxing, China

3. College of Digital Technology and Engineering, Ningbo University of Finance & Economics, Ningbo, China

Funder

Zhejiang Province Philosophy and Social Science Planning Project

Major Humanities and Social Sciences Research Youth Key Projects in Zhejiang Colleges and Universities

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2022.2107554

Reference41 articles.

1. A Trading Approach to Testing for Predictability

2. Intraday periodicity and volatility persistence in financial markets

3. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

4. The Distribution of Realized Exchange Rate Volatility

5. Modeling and Forecasting Realized Volatility

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