Forecasting US stock market volatility: How to use international volatility information-Reference-Cited by-同舟云学术

Forecasting US stock market volatility: How to use international volatility information

Published:2020-12-20 Issue:5 Volume:40 Page:733-768
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Zhang Yaojie¹^ORCID,Wang Yudong¹^ORCID,Ma Feng²

Affiliation:

1. School of Economics and Management Nanjing University of Science and Technology Nanjing China

2. School of Economics and Management Southwest Jiaotong University Chengdu China

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2737

Reference74 articles.

1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

2. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

3. Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment

4. Realized kernels in practice: trades and quotes

5. Forecasting house prices in the 50 states using Dynamic Model Averaging and Dynamic Model Selection

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