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Gary C.K. Wen

University of California, Davis

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Return and Volatility Forecasting in Mixed Panels

Number of pages: 61 Posted: 28 Apr 2024
Cindy S.H. Wang, Cheng Hsiao, Yimeng Xie and Gary C.K. Wen
Catholic University of Louvain (UCL)Peking University, HSBC Business School, University of Southern California - Department of Economics, Xiamen University and University of California, Davis
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Abstract:

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Long memory process, mixed panel, return and volatility forecasts, cross-sectional dependence, panel autoregression approximation.