Latent Common Return Volatility Factors: Capturing Elusive Predictive Accuracy Gains When Forecasting Volatility-Reference-Cited by-同舟云学术

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Latent Common Return Volatility Factors: Capturing Elusive Predictive Accuracy Gains When Forecasting Volatility

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Cheng Mingmian,Swanson Norman R.,Yang Xiye

Publisher

Elsevier BV

Reference45 articles.

1. Understanding analysts earnings expectations: Biases, nonlinearities, and predictability;M Aiolfi;Journal of Financial Econometrics,2009

2. Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data;Y A�ita�it-Sahalia;Journal of Economic Literature,2012

3. Ultra high frequency volatility estimation with dependent microstructure noise;Y A�ita�it-Sahalia;Journal of Econometrics,2011

4. Principal component analysis of high frequency data;Y A�ita�it-Sahalia;Chicago Booth Research Paper,2016

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. Big data analytics in economics: What have we learned so far, and where should we go from here?;Canadian Journal of Economics/Revue canadienne d'économique;2018-07-31

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