Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set-Reference-Cited by-同舟云学术

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Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set

Published:2024-06 Issue: Volume:93 Page:673-711
ISSN:1059-0560
Container-title:International Review of Economics & Finance
language:en
Short-container-title:International Review of Economics & Finance

Author:

Li Zhao-Chen,Xie Chi^ORCID,Wang Gang-Jin,Zhu You,Zeng Zhi-Jian,Gong Jue

Funder

Chinese National Funding of Social Sciences

Major Program of National Fund of Philosophy and Social Science of China

National Natural Science Foundation of China

Hunan Provincial Natural Science Foundation

National Office for Philosophy and Social Sciences

Publisher

Elsevier BV

Reference85 articles.

1. Overnight stock returns and realized volatility;Ahoniemi;International Journal of Forecasting,2013

2. Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility;Andersen;The Review of Economics and Statistics,2007

3. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001

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

5. Asymmetry and long memory in volatility modeling;Asai;Journal of Financial Econometrics,2012

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