Work

Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets

Year: 2019

Type: article

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2019.04.003

Authors: Gaoxiu Qiao, Yuxin Teng, Weiping Li, Wenwen Liu

Institutions: Southwest Jiaotong University, Oklahoma State University, Xihua 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, Ministry of Education of the People's Republic of China, Fundamental Research Funds for the Central Universities, Social Science Planning Project of Shandong Province

Awards: G1873890679, G2166404140, G2618567197, G2863136839, G4134614538, G4723422662, G616035817, 波动率指数衍生产品定价方法研究——基于离散时间波动率模型新视角, G7713192890, G8677326834

OpenAlex ID: W2932621144

FWCI: 6.061

Cites: 48

Cited by: 33

Related to: 10