Work

Forecasting global equity market volatilities

Year: 2020

Type: article

Source: International Journal of Forecasting

DOI: 10.1016/j.ijforecast.2020.02.007

Authors: Yaojie Zhang, Feng Ma, Yin Liao

Institutions: Nanjing University of Science and Technology, Southwest Jiaotong University, Macquarie 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, Fundamental Research Funds for the Central Universities, Humanities and Social Science Fund of Ministry of Education of China

Awards: 基于混频技术和组合预测的资产复杂相关性密度预测研究：短期冲击、长期影响与机制转换, G2079728654, 高频数据视角下的金融市场波动率建模及预测：基于机制转换和动态模型平均组合预测法的研究, G462708470, G5416416709, G8267228385, G8974035968

OpenAlex ID: W3016693239

FWCI: 19.74

Cites: 45

Cited by: 111

Related to: 10