Macroeconomic fundamentals, jump dynamics and expected volatility

DOI10.1080/14697688.2020.1736317zbMath1454.91233OpenAlexW3016058032MaRDI QIDQ5139235

Yudong Wang, Zhiyuan Pan, Li Liu, Ruijun Bu

Publication date: 7 December 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1736317

zbMATH Keywords

portfolioloss functionvolatilitymacroeconomic activity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

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• Empirical properties of asset returns: stylized facts and statistical issues
• The Distribution of Realized Exchange Rate Volatility
• Modeling and Forecasting Realized Volatility

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