A new approach to model and forecast volatility based on extreme value of asset prices
Dilip Kumar; S. Maheswaran
| Year of publication: |
2014
|
|---|---|
| Authors: | Kumar, Dilip ; Maheswaran, S. |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 33.2014, p. 128-140
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| Subject: | CARRS model | Rogers and Satchell (RS) estimator | Forecast evaluation | Volatility modeling | Generalized autoregressive conditional heteroskedasticity (GARCH) model | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010531271