摘要 : Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about the accuracy of volatility forecasts and the horizon of volatility predictability. Thi... 展开
作者 | Li~ Xingyi Zakamulin~ Valeriy |
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作者单位 | |
期刊名称 | 《International journal of forecasting》 |
页码/总页数 | 723-737 / 15 |
语种 | 英语 |
关键词 | Spot volatility Forward volatility Volatility forecasting High-frequency data Forecast accuracy Term structure Out-of-sample forecasting Model comparison |
DOI | 10.1016/j.ijforecast.2019.08.010 |
馆藏号 | N-103 |