A new statistic to capture the level dependence in stock price volatility
Lakshmi Padmakumari, S. Maheswaran
| Year of publication: |
August 2017
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| Authors: | Padmakumari, Lakshmi ; Maheswaran, S. |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 65.2017, p. 355-362
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| Subject: | Volatility estimation | Random walk | Extreme values | Covariance | Constant Elasticity of Variance | Level dependence | Volatilität | Volatility | Börsenkurs | Share price | Schätztheorie | Estimation theory | Korrelation | Correlation | Random Walk | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2016.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011792503