A new unbiased additive robust volatility estimation using extreme values of asset prices
Muneer Shaik, S. Maheswaran
| Year of publication: |
2020
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|---|---|
| Authors: | Shaik, Muneer ; Maheswaran, S. |
| Published in: |
Financial markets and portfolio management. - Norwell, Mass. : Springer, ISSN 2373-8529, ZDB-ID 2097963-0. - Vol. 34.2020, 3, p. 313-347
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| Subject: | Robust volatility ratio | Bias | Volatility estimators | Monte Carlo simulation | Extreme values of asset prices | Efficiency | Volatilität | Volatility | Monte-Carlo-Simulation | Robustes Verfahren | Robust statistics | Schätzung | Estimation | CAPM | Börsenkurs | Share price | Schätztheorie | Estimation theory | Ausreißer | Outliers | Aktienindex | Stock index | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Systematischer Fehler | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-020-00355-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012289673