Predicting stock realized variance based on an asymmetric robust regression approach

DOI10.1111/BOER.12392zbMath1530.91560OpenAlexW4361276697MaRDI QIDQ6066261

Unnamed Author, Mengxi He, Yaojie Zhang, Xianfeng Hao

Publication date: 15 November 2023

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/boer.12392

zbMATH Keywords

stock market volatilityout-of-sample forecastingasymmetric effectrobust regression modelheterogeneous autoregressive realized volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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