Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Year of publication: |
2019
|
---|---|
Authors: | Shaik, Muneer ; Maheswaran, S. |
Published in: |
Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 7.2019, 1, p. 1-27
|
Subject: | volatility modeling | robust estimation | extreme value estimators | Brownian motion | volatility ratio | Volatilität | Volatility | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Robustes Verfahren | Robust statistics | Schätztheorie | Estimation theory | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Aktienindex | Stock index | Schätzung | Estimation | Aktienmarkt | Stock market | Welt | World |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/23322039.2019.1597430 [DOI] hdl:10419/245218 [Handle] |
Classification: | C51 - Model Construction and Estimation ; c58 ; C12 - Hypothesis Testing ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Shaik, Muneer, (2019)
-
Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A., (2020)
-
Asymmetry in Volatility : A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr, (2021)
- More ...
-
Expected lifetime range ratio to find mean reversion: Evidence from Indian stock market
Shaik, Muneer, (2018)
-
Shaik, Muneer, (2019)
-
Random walk in emerging Asian stock markets
Shaik, Muneer, (2017)
- More ...