Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?-Reference-Cited by-同舟云学术

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Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?

Published:2018-07 Issue: Volume:501 Page:78-85
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:

Peng Huan,Chen Ruoxun,Mei Dexiang,Diao Xiaohua

Funder

Chongqing Social Science Planning Office Project, China

Chongqing Finance Institute Two Rivers, China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference46 articles.

1. Forecasting volatility in financial markets: A review;Poon;J. Econ. Lit.,2003

2. Forecasting crude oil market volatility: Further evidence using GARCH-class models;Wei;Energy Econ.,2010

3. Forecasting daily variability of the SP 100 stock index using historical, realised and implied volatility measurements;Koopman;J. Empir. Finance,2005

4. A simple approximate long-memory model of realized volatility;Corsi;J. Financ. Econom.,2009

5. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

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3. Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets;Finance Research Letters;2023-07

4. Forecasting the Asian stock market volatility: Evidence from WTI and INE oil futures;International Journal of Finance & Economics;2022-12-14

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