Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
DOI10.1155/2013/143194zbMATH Open1273.91401OpenAlexW2166672289WikidataQ58915353 ScholiaQ58915353MaRDI QIDQ369722FDOQ369722
Authors: Xu Gong, Chuangxia Huang, Xiaohong Chen, Fenghua 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
Recommendations
- The volatility forecasting and VaR measurement of Chinese stock market based on generalized realized measures
- A generalized heterogeneous autoregressive model using market information
- Modeling Shanghai stock market volatility
- Forecasting realized volatility: a review
- Research on the forecasting performance of the HAR-type model based on true and false jumps
Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Title not available (Why is that?)
- Consistent ranking of volatility models
- Jump-robust volatility estimation using nearest neighbor truncation
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Cited In (23)
- Lattice methods for pricing American strangles with two-dimensional stochastic volatility models
- Higher order mean squared error of generalized method of moments estimators for nonlinear models
- Risk measurement for portfolio credit risk based on a mixed Poisson model
- A generalized heterogeneous autoregressive model using market information
- Valuing catastrophe bonds involving credit risks
- Solvability for a fractional order three-point boundary value system at resonance
- Linear control of fractional-order financial chaotic systems with input saturation
- Pricing decision under dual-channel structure considering fairness and free-riding behavior
- Volatility modeling for financial market: based on the views of multifractal
- A comparison of forecasting models of the volatility in Shenzhen stock market
- Performance evaluation of portfolios with margin requirements
- Dynamical behaviors of a food-chain model with stage structure and time delays
- The volatility forecasting and VaR measurement of Chinese stock market based on generalized realized measures
- Application of MRS-GARCH model in volatility estimation of China's stock market
- Research on the forecasting performance of the HAR-type model based on true and false jumps
- A separate reduced-form volatility forecasting model for nonferrous metal market: evidence from copper and aluminum
- Regret theory and equilibrium asset prices
- The forecasting performance of the high-frequency volatility models based on jumps, good-bad volatility and Markov regime-switching
- Extension of modified Polak-Ribière-Polyak conjugate gradient method to linear equality constraints minimization problems
- Nonlinear high-frequency stock market time series: modeling and combine forecast evaluations
- On the volatility of high frequency stock index based on SV model of MCMC
- A stochastic dynamic programming approach based on bounded rationality and application to dynamic portfolio choice
- A numerical study for robust active portfolio management with worst-case downside risk measure
This page was built for publication: Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q369722)
