摘要 : The US implied volatility index (VIX) is a popular proxy for global financial market uncertainty. This paper aims to assess the role of this proxy in forecasting the Chinese stock market volatility, as China's globalization trend ... 展开
作者 | Xiao~ Jihong Wen~ Fenghua Zhao~ Yupei Wang~ Xiong |
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作者单位 | |
期刊名称 | 《International review of economics & finance》 |
页码/总页数 | 311-333 / 23 |
语种/中图分类号 | 英语 / F8 |
关键词 | Volatility forecasting Chinese stock market VIX Good and bad volatilities HAR models |
DOI | 10.1016/j.iref.2021.03.010 |
馆藏号 | F-147 |