Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR
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DOI: 10.1007/s40822-015-0013-x
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More about this item
Keywords
Implied volatility index; VHSI; ARIMA; HAR; Day-of-week effect; Spillover effect; C53; G17;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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