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Liquidity and realized range-based volatility forecasting: Evidence from China · Study

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ArticleLiquidity and realized range-based volatility forecasting: Evidence from China

Dengshi Huang2019

Article2019

Liquidity and realized range-based volatility forecasting: Evidence from China

Dengshi Huang · Feng Ma · Gaoxiu Qiao

17 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2002Illiquidity and stock returns: cross-section and time-series effects 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2008Market Liquidity and Funding Liquidity 1986Asset pricing and the bid-ask spread 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2005Asset pricing with liquidity risk 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

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2013Market Liquidity—Theory and Empirical Evidencechapter · 13 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 13 shared references 2016Forecasting the realized range-based volatility using dynamic model averaging approacharticle · 13 shared references 2014The Empirical Analysis of Liquidityarticle · 12 shared references 2017Forecasting the oil futures price volatility: A new approacharticle · 12 shared references 2019Volatility forecasting: long memory, regime switching and heteroscedasticityarticle · 12 shared references

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Year2019

Typearticle

Published2019-04-08

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations17

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2019.03.122

openalex_workW2940131244

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