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ArticleForecasting global equity market volatilities

Yaojie Zhang2020

Article2020

Forecasting global equity market volatilities

Yaojie Zhang · Feng Ma · Yin Liao

111 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

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References

2006Investor Sentiment and the Cross‐Section of Stock Returns 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2002Macroeconomic Forecasting Using Diffusion Indexes 2008A Simple Approximate Long-Memory Model of Realized Volatility 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

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Year2020

Typearticle

Published2020-04-13

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations111

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2020.02.007

openalex_workW3016693239

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2021

Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information

2022Forecasting crude oil futures market returns: A principal component analysis combination approach

2022Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility

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