Forecasting trading-session return volatility in Taiwan futures market: a periodic regime switching with jump approach

DOI10.1007/S10690-023-09415-WMaRDI QIDQ6563718zbMATH OpenFDO

Authors Yihao Lai, Yi-Chiuan Wang, Yu-Ching Chang

Publication date 27 June 2024

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10690-023-09415-W

zbMATH Keywords

jump processout-of-samplevolatility forecastingperiodic regime switching model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns

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