Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
نویسندگان
چکیده
and Applied Analysis 3 daily return volatility, while most literatures on RV at present (such as Wang et al. [13] and Corsi [9]) have not taken it into consideration. According to researches of Martens [20] and Koopman et al. [6], considering the overnight return variance, we adjust RV as
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