Uncertainty index and stock volatility prediction: evidence from international markets

This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective. We construct a composite UI based on the scaled principal component analysis (s-PCA) method and demonstrate that it e...

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Detalles Bibliográficos
Autores principales: Gong, Xue, Zhang, Weiguo, Xu, Weijun, Li, Zhe
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2022
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9173841/
https://www.ncbi.nlm.nih.gov/pubmed/35693846
http://dx.doi.org/10.1186/s40854-022-00361-6

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9173841/
https://www.ncbi.nlm.nih.gov/pubmed/35693846
http://dx.doi.org/10.1186/s40854-022-00361-6

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