Work

Predicting the volatility of China's new energy stock market: Deep insight from the realized EGARCH-MIDAS model

Year: 2022

Type: article

Source: Finance research letters

DOI: 10.1016/j.frl.2022.102981

Authors: Lu Wang, Chenchen Zhao, Chao Liang, Song Jiu

Institution: Southwest Jiaotong 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

Awards: G1552248936, G530850957, G6347160404, 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

OpenAlex ID: W4280586641

FWCI: 3.479

Cites: 54

Cited by: 22

Related to: 10