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Modeling stock market volatility using new HAR-type models

Published:2019-02 Issue: Volume:516 Page:194-211
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

Social Science Planning Project of Fujian Province, China

National Natural Science Foundation of China

China Postdoctoral Science Foundation

Ministry of Education of China

National Social Science Foundation of China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference62 articles.

1. Option pricing with the Realized GARCH model: an analytical approximation approach;Huang;J. Futures Mark.,2017

2. Volatility cones and volatility arbitrage strategies—empirical study based on SSE ETF option;Song;China Financ. Rev. Int.,2017

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

4. Investigating the risk-return trade-off for crude oil futures using high-frequency data;Gong;Appl. Energy,2017

5. Volatility measurement with directional change in Chinese stock market: statistical property and investment strategy;Ma;Physica A,2017

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2. Novel hybrid model based on echo state neural network applied to the prediction of stock price return volatility;Expert Systems with Applications;2021-12

3. A hybrid approach of adaptive wavelet transform, long short-term memory and ARIMA-GARCH family models for the stock index prediction;Expert Systems with Applications;2021-11

4. Impacts of asymmetry on forecasting realized volatility in Japanese stock markets;Economic Modelling;2021-08

5. Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?;Resources Policy;2021-08

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