Cross-border exchanges and volatility forecasting

DOI10.1080/14697688.2017.1414512zbMath1405.62122OpenAlexW2788160436MaRDI QIDQ4554462

Jason Laws, Abhinav Goyal, Dimos Kambouroudis, Vasileios Kallinterakis

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1893/26731

zbMATH Keywords

volatility forecastingglobal financial crisisfeedback tradingexchange groups

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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