Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal
The asymmetry of volatility is an important feature of asset price changes, and studying the asymmetry of cojumps on volatility prediction can provide a reference for systemic risk monitoring. Based on high-frequency data of CSI 300 stock index and futures index, SSE Composite Index, and industry in...
| Príomhchruthaitheoirí: | , , |
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| Formáid: | Alt |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Hindawi Limited
2022-01-01
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| Sraith: | Discrete Dynamics in Nature and Society |
| Rochtain ar líne: | http://dx.doi.org/10.1155/2022/1936485 |