Forecasting equity index volatility by measuring the linkage among component stocks

Forecasting equity index volatility by measuring the linkage among component stocks

The linkage among the realized volatilities across component stocks are important when modeling and forecasting the relevant index volatility. In this paper, the linkage is measured via an extended Common Correlated Effects (CCE) approach under a panel heterogeneous autoregression model where unobse...

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Bibliographic Details
Main Authors: QIU, Yue, XIE, Tian, YU, Jun, ZHOU, Qiankun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Volatility Forecasting
Heterogeneous autoregression
Common correlated effect
Factor analysis
Random forest
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2247
https://ink.library.smu.edu.sg/context/soe_research/article/3246/viewcontent/harp_manu_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2247
https://ink.library.smu.edu.sg/context/soe_research/article/3246/viewcontent/harp_manu_.pdf

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