Intraday volatility predictability in china gold futures market: The case of last half-hour realized volatility forecasting-Reference-Cited by-同舟云学术

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Intraday volatility predictability in china gold futures market: The case of last half-hour realized volatility forecasting

Published:2023-12 Issue: Volume:58 Page:104022
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Ye Chuxin,Lv Jiamin^ORCID,Xue Yinsong,Luo Xingguo

Funder

Fundamental Research Funds for the Central Universities

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Finance

Reference23 articles.

1. Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;J. Financ.,1998

2. Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities;Andersen;Econometrica,2005

3. Investor sentiment and the cross-section of stock returns;Baker;J. Finance,2006

4. Hedging demand and market intraday momentum;Baltussen;J. Financ. Econom.,2021

5. Does oil and gold price uncertainty matter for the stock market?;Bams;J. Empir. Financ.,2017

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1. Cryptocurrency volatility forecasting using commonality in intraday volatility;4th ACM International Conference on AI in Finance;2023-11-25

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