Cross-market information transmission and stock market volatility prediction
The North American Journal of Economics and Finance(2023)
摘要
•The transfer entropy method is used to measure the information flow transmitted across stock markets.•Cross-market information flow is an important factor to predict medium- and long-term realized volatility of stock market.•Nonlinear machine learning methods are much beneficial to predict the realized volatility of stock market.
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关键词
C52,C58,G15,G17
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