Cross-border exchanges and volatility forecasting

DOI10.1080/14697688.2017.1414512MaRDI QIDQ4554462zbMATH OpenOpenAlexFDO

Authors Abhinav Goyal, Vasileios Kallinterakis, Dimos Kambouroudis, Jason Laws

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1893/26731

zbMATH Keywords

exchange groupsfeedback tradingglobal financial crisisvolatility forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Modeling and pricing long memory in stock market volatility
• Modelling the persistence of conditional variances

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