The contribution of jump signs and activity to forecasting stock price volatility
Year of publication: |
2023
|
---|---|
Authors: | Bu, Ruijun ; Hizmeri, Rodrigo ; Izzeldin, Marwan ; Murphy, Anthony ; Tsionas, Efthymios G. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 70.2023, p. 144-164
|
Subject: | Business sampling | Calendar sampling | Jump measures | Market microstructure noise | Model averaging | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Stichprobenerhebung | Sampling | Marktmikrostruktur | Market microstructure | ARCH-Modell | ARCH model | Noise Trading | Noise trading |
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