Forecast the realized range-based volatility: the role of investor sentiment and regime switching (Q2161799): Difference between revisions
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| Property / cites work: Measuring volatility with the realized range / rank | |||
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| Property / cites work: Realized range-based estimation of integrated variance / rank | |||
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| Property / cites work: Microstructure Noise, Realized Variance, and Optimal Sampling / rank | |||
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| Property / cites work: Autoregressive conditional heteroskedasticity and changes in regime / rank | |||
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| Property / cites work: No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications / rank | |||
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| Property / cites work: The Model Confidence Set / rank | |||
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Revision as of 19:46, 29 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecast the realized range-based volatility: the role of investor sentiment and regime switching |
scientific article |
Statements
Forecast the realized range-based volatility: the role of investor sentiment and regime switching (English)
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5 August 2022
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volatility forecasting
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investor sentiment
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realized range-based volatility
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switching regimes
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