Structural changes and out-of-sample prediction of realized range-based variance in the stock market-Reference-Cited by-同舟云学术

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Structural changes and out-of-sample prediction of realized range-based variance in the stock market

Published:2018-03 Issue: Volume:494 Page:27-39
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Gong Xu,Lin Boqiang

Funder

National Natural Science Foundation of China

Social Science Foundation of Fujian

China Postdoctoral Science Foundation

Collaborative Innovation Center for Energy Economics and Energy Policy

Xiamen University Flourish Plan Special Funding

China National Social Science Fund

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference71 articles.

1. Fireworks algorithm for mean-VaR/CVaR models;Zhang;Physica A,2017

2. Worse-case conditional value-at-risk for asymmetrically distributed asset scenarios returns;Dai;J. Comput. Anal. Appl.,2016

3. Volatility risk and stock return predictability;Mateus;China Financ. Rev. Int.,2017

4. Extreme return, extreme volatility and investor sentiment;Gong;Filomat,2016

5. American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach;Chen;Oper. Res.,2014

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