A General Volatility Framework and the Generalised Historical Volatility Estimator.

This study proposes a new approach to estimation of the time series properties of daily volatility in financial markets.

Year of publication:	1998
Authors:	Bollen, B. ; Inder, B.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	EVALUATION \| TIME SERIES \| FINANCIAL MARKET

Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 10/98 35 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005581143