Forecasting stock return volatility: A comparison between the roles of short-term and long-term leverage effects-Reference-Cited by-同舟云学术

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Forecasting stock return volatility: A comparison between the roles of short-term and long-term leverage effects

Published:2018-02 Issue: Volume:492 Page:168-180
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:

Pan Zhiyuan,Liu Li

Funder

National Science Foundation of China

Qing Lan Project in Jiangsu province

Jiangsu Higher Education Institutions

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference36 articles.

1. Can economic policy uncertainty help to forecast the volatility: A multifractal perspective;Liu;Physica A,2017

2. Forecasting stock market volatility: Do realized skewness and kurtosis help?;Mei;Physica A,2017

3. On fractality and chaos in moroccan family business stock returns and volatility;Lahmiri;Physica A,2017

4. Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods;Lahmiri;Physica A,2017

5. Observability of market daily volatility;Petroni;Physica A,2016

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