Realized Volatility Forecast of Stock Index Under Structural Breaks-Reference-Cited by-同舟云学术

Realized Volatility Forecast of Stock Index Under Structural Breaks

Published:2014-11-28 Issue:1 Volume:34 Page:57-82
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Yang Ke¹,Chen Langnan²,Tian Fengping³

Affiliation:

1. College of Economics and Management; South China Agricultural University; Guangzhou 510642 China

2. Lingnan College; Sun Yat-sen University; Guangzhou 510275 China

3. International Business School; Sun Yat-sen University; Guangzhou 510275 China

Funder

China Natural Scence Foundation

China Social Science Foundation

Humanities and Social Sciences Foundation of Ministry of Education of China

Publisher

Wiley

Subject

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

Reference46 articles.

1. Answering the skeptics: yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998

2. The distribution of realized returns volatility;Andersen;Journal of Financial Economic,2001

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

4. Analytic evaluation of volatility forecasts;Andersen;International Economic Review,2004

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

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