Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
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Publication:369722
DOI10.1155/2013/143194zbMath1273.91401OpenAlexW2166672289WikidataQ58915353 ScholiaQ58915353MaRDI QIDQ369722
Xu Gong, Chuang Xia Huang, Xiao Hong Chen, Feng-Hua Wen
Publication date: 19 September 2013
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/143194
Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
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Cites Work
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- Jump-robust volatility estimation using nearest neighbor truncation
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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