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Forecasting stock market volatility: the role of gold and exchange rate
The objective of our paper is to show that gold and exchange rate volatility is predictive of stock volatility from both in-sample and out-of-sample perspectives. There exists very significant predictability from gold and exchange rate volatility to Hang Seng Index (HSI) return volatility among in-s...
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| Autores principales: | , , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
AIMS Press
2020-07-01
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| Colección: | AIMS Mathematics |
| Materias: | |
| Acceso en línea: | https://www.aimspress.com/article/10.3934/math.2020327/fulltext.html |
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