Work

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

Year: 2021

Type: article

Source: Econometrics and Statistics

DOI: 10.1016/j.ecosta.2021.08.002

Authors: Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori

Institutions: Hosei University, Hitotsubashi University, Institute of Economic Research, Hitotsubashi University, The University of Tokyo

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Ministry of Education, Culture, Sports, Science and Technology, Japan Society for the Promotion of Science

Awards: New developments in nonlinear econometric models using statistical learning and their applications to risk evaluations, New developments in high dimensional data modeling and statistical risk analysis, 高頻度注文板データを用いた市場クオリティの分析, Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data

OpenAlex ID: W3119225509

FWCI: 2.586

Cites: 78

Cited by: 21

Related to: 10