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

DOI10.3934/MATH.2020327zbMATH Open1484.62125OpenAlexW3034702326MaRDI QIDQ2129884FDOQ2129884

Authors: Huiting Zhou, Xiaodi Dong, Zhifeng Dai 

Publication date: 25 April 2022

Published in: AIMS Mathematics (Search for Journal in Brave)

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

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zbMATH Keywords

forecastingexchange rategoldprediction abilitystock return volatility

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

• Stock volatility predictability in bull and bear markets
• Title not available (Why is that?)
• Forecasting stock market volatility: a combination approach
• A prediction model for stock market based on the integration of independent component analysis and multi-LSTM

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