Forecast the realized range-based volatility: the role of investor sentiment and regime switching

DOI10.1016/J.PHYSA.2019.121422OpenAlexW2944601482WikidataQ127902258 ScholiaQ127902258MaRDI QIDQ2161799

Feng Ma, Jiqian Wang, Xinjie Lu, Weiju Xu

Publication date: 5 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121422

zbMATH Keywords

volatility forecastinginvestor sentimentswitching regimesrealized range-based volatility

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps

Cites Work

• The Model Confidence Set
• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
• Measuring volatility with the realized range
• Realized range-based estimation of integrated variance
• Autoregressive conditional heteroskedasticity and changes in regime
• Microstructure Noise, Realized Variance, and Optimal Sampling

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