期刊论文

Xue Gong

英文

International Review of Financial Analysis

1057-5219

2022

84

102412

10.1016/j.irfa.2022.102412

CRediT authorship contribution statement Xing Yu: Conceptualization, Methodology, acquisition, Resources, Supervision, Data curation, Formal analysis, Writing – original draft, Writing – review & editing. Yanyan Li: Software, Data curation, Investigation, Formal analysis, Writing – original draft. Xue Gong: Conceptualization, Methodology, Software, Formal analysis, Writing – original draft, Writing – review & editing. Nan Zhang: Data curation, Validation.

本校为第一机构

The complexity and uncertainty of the financial market mainly stem from the rich market internal transaction information and a wide range effect of external factors. To this end, this paper proposes the combination factors-driven forecasting method to predict realized volatilities of the CSI 300 index and index futures. Based on the volatilities predicted by the proposed method, we further evaluate the ex-ante hedging performance in comparison to the conventional HAR model as well as GARCH-type models. The empirical results indicate that the factors-driven realized volatility model significant...