Realized volatility forecasting in an international context

被引：5
|
作者：
Taylor, Nicholas [1 ]
机构：
[1] Univ Bristol, Sch Econ Finance & Management, Bristol, Avon, England
来源：
APPLIED ECONOMICS LETTERS | 2015年 / 22卷 / 06期
关键词：
international markets; forecasting; spillover effects; realized volatility; C53; G15;
D O I：
10.1080/13504851.2014.952887
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The value of overseas information within a volatility forecasting setting is examined. The article innovates by considering the forecasting performance of an augmented version of a popular realized volatility model in which this information is incorporated. An application based on realized volatility data from 13 international stock markets demonstrates that this volatility model delivers improved out-of-sample forecasts.
引用
收藏
页码：503 / 509
页数：7
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