Work

Structural changes and out-of-sample prediction of realized range-based variance in the stock market

Year: 2017

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2017.12.004

Authors: Xu Gong, Boqiang Lin

Institution: Xiamen University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, China Postdoctoral Science Foundation

Awards: G1136818391, 基于混频数据的大宗商品价格波动建模及其应用研究

OpenAlex ID: W2773448351

FWCI: 5.963

Cites: 73

Cited by: 20

Related to: 10