Forecasting stock market volatility: the role of gold and exchange rate

DOI10.3934/MATH.2020327MaRDI QIDQ2129884zbMATH OpenOpenAlexFDO

Authors Huiting Zhou, Xiaodi Dong, Zhifeng Dai

Publication date 25 April 2022

Published in AIMS Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/math.2020327

zbMATH Keywords

forecastingexchange rategoldprediction abilitystock return volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A modified Perry's conjugate gradient method-based derivative-free method for solving large-scale nonlinear monotone equations
• Approximately normal tests for equal predictive accuracy in nested models
• Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
• Time-varying parameter realized volatility models

Cited in

(4)

• Stock volatility predictability in bull and bear markets
• Forecasting stock market volatility: a combination approach
• A prediction model for stock market based on the integration of independent component analysis and multi-LSTM
• scientific article; zbMATH DE number 6881157 (Why is no real title available?)

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