The Forecasting Performance of the High-Frequency Volatility Models Based on Jumps, Good-Bad Volatility and Markov Regime-Switching

CAI Guanghui,YING Xuehai

Journal of Systems Science and Mathematical Sciences ›› 2020, Vol. 40 ›› Issue (3) : 521-546.

PDF(767 KB)
中国科学院数学与系统科学研究院期刊网
PDF(767 KB)
Journal of Systems Science and Mathematical Sciences ›› 2020, Vol. 40 ›› Issue (3) : 521-546. DOI: 10.12341/jssms13835

The Forecasting Performance of the High-Frequency Volatility Models Based on Jumps, Good-Bad Volatility and Markov Regime-Switching

  • {{article.zuoZhe_EN}}
Author information +
History +

HeighLight

{{article.keyPoints_en}}

Abstract

{{article.zhaiyao_en}}

Key words

QR code of this article

Cite this article

EndNote

Ris (Procite)

Bibtex

Download Citations
{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2020, 40(3): 521-546 https://doi.org/10.12341/jssms13835

References

Publishing order | Descend order by publishing year | Descend order by cited within

References

{{article.reference}}

Funding

RIGHTS & PERMISSIONS

{{article.copyrightStatement_en}}
{{article.copyrightLicense_en}}
PDF(767 KB)

Accesses

Citation

Detail
Sections
Recommended

/

〈 〉