Forecasting trading-session return volatility in Taiwan futures market: a periodic regime switching with jump approach

DOI10.1007/s10690-023-09415-wzbMath1542.91396MaRDI QIDQ6563718

Yihao Lai, Yi-Chiuan Wang, Yu-Ching Chang

Publication date: 27 June 2024

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

jump processvolatility forecastingout-of-sampleperiodic regime switching model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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