Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model

DOI10.1155/2013/143194zbMath1273.91401OpenAlexW2166672289WikidataQ58915353 ScholiaQ58915353MaRDI QIDQ369722

Xu Gong, Chuang Xia Huang, Xiao Hong Chen, Feng-Hua Wen

Publication date: 19 September 2013

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/143194

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites Work

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• Consistent ranking of volatility models
• Jump-robust volatility estimation using nearest neighbor truncation
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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