Work

Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market

Year: 2019

Type: article

Source: Economic Modelling

DOI: 10.1016/j.econmod.2019.07.014

Authors: Yajing Wang, Fang Liang, Tianyi Wang, Zhuo Huang

Institutions: University of International Business and Economics, Peking University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Natural Science Foundation of China

Awards: 基于高频金融数据的期权定价新模型：理论和实证研究, 基于已实现测度和隐含信息期限结构的衍生品定价研究

OpenAlex ID: W2964028848

FWCI: 1.177

Cites: 38

Cited by: 10

Related to: 10