Work

Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?

Year: 2020

Type: article

Source: International Review of Financial Analysis

DOI: 10.1016/j.irfa.2020.101596

Authors: Jiqian Wang, Xinjie Lu, Feng He, Feng Ma

Institutions: Southwest Jiaotong University, Tianjin University of Finance and Economics

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Natural Science Foundation of China, Ministry of Education of the People's Republic of China

Awards: G2863136839, 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, G3261279388, 中国原油期货市场波动率建模、预测及其应用研究：基于时变机制转换和动态稀疏权重组合方法, G8664735882

OpenAlex ID: W3089147409

FWCI: 22.36

Cites: 52

Cited by: 133

Related to: 10