Volatility modeling and prediction: the role of price impact (Q5120732)

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scientific article; zbMATH DE number 7247989
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English
Volatility modeling and prediction: the role of price impact
scientific article; zbMATH DE number 7247989

    Statements

    title
    Volatility modeling and prediction: the role of price impact (English)
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    author
    Ying Jiang
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    Yi Cao
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    Xiaoquan Liu
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    Jia Zhai
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    publication date
    16 September 2020
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    zbMATH Keywords
    market microstructure
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    Chinese stock market
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    panel vector autoregression
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    volatility modeling
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    describes a project that uses
    pVAR
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    Stata
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    Identifiers

    zbMATH DE Number
    7247989
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    OpenAlex ID
    W2963705173
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