A new unbiased additive robust volatility estimation using extreme values of asset prices
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 |
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