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Keywords: Equity futures
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Journal Articles
Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2023) 13 (2): 285–303.
Published: 18 November 2020
... Limited 2020 Emerald Publishing Limited Licensed re-use rights only Realized volatility Volatility forecasting HAR model Trading behavior Equity futures G13 G15 G17 In this paper, we examine whether the high frequency measure of order flow imbalance (OI), which is constructed...
