Concepedia

Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets

Gaoxiu Qiao, Yuxin Teng, Weiping Li, Wenwen Liu

The North American Journal of Economics and Finance · 2019 · 34 citations · 39 references

DOI

Concepts

References

39

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations

, , +10

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

, , +17

A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations

, , +17

Power and Bipower Variation with Stochastic Volatility and Jumps

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2004 · 2.1K citations

, , +15

The Model Confidence Set

Econometrica · 2011 · 2K citations

, , +17