摘要 : Based on methods developed by Bollerslev et al. (2016), we explicitly accounted for the heteroskedasticity in the measurement errors and for the high volatility of Chinese stock prices; we proposed a new model, the LogHARQ model, ... 展开
作者 | Wang~ Yajing Liang~ Fang Wang~ Tianyi Huang~ Zhuo |
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作者单位 | |
期刊名称 | 《Economic modelling》 |
页码/总页数 | 148-157 / 10 |
语种/中图分类号 | 英语 / F2 |
关键词 | Realized volatility Measurement errors Volatility forecasting Chinese stock market |
DOI | 10.1016/j.econmod.2019.07.014 |
馆藏号 | F-384 |