Cross-market information transmission and stock market volatility prediction
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DOI: 10.1016/j.najef.2023.101977
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References listed on IDEAS
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- Li, Zhe & Shen, Jiashuang & Xiao, Weilin, 2024. "Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
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More about this item
Keywords
Cross-market information flow; Realized volatility; Transfer entropy; Machine learning; Linear and nonlinear Granger causality test;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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