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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

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