Forecasting Stock Market Volatility Using Implied Volatility.
Peng HeStephen Shing-Toung YauPublished in: ACC (2007)
Keyphrases
- stock market
- garch model
- financial time series
- short term
- stock index futures
- stock index
- stock price
- long term
- chinese stock market
- technical indicators
- stock trading
- financial markets
- stock returns
- foreign exchange
- stock exchange
- trading rules
- turning points
- exchange rate
- financial data
- forecasting model
- stock market data
- financial news
- stock data
- trading strategies
- multivariate time series
- non stationary
- listed companies
- portfolio optimization
- neural network