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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| 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 |