A conditional autoregressive range model with gamma distribution for financial volatility modelling
Haibin Xie, Xinyu Wu
| Year of publication: |
August 2017
|
|---|---|
| Authors: | Xie, Haibin ; Wu, Xinyu |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 64.2017, p. 349-356
|
| Subject: | CARR | Gamma distribution | GCARR | Price range | Volatility | Volatilität | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.04.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011761274