A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
Dilip Kumar; S. Maheswaran
| Year of publication: |
2014
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|---|---|
| Authors: | Kumar, Dilip ; Maheswaran, S. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 38.2014, p. 33-44
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| Subject: | Volatility estimation | Bias correction | Random walk effect | Binomial Markov Random Walk (BMRW) model | Volatilität | Volatility | Random Walk | Random walk | Börsenkurs | Share price | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Wechselkurs | Exchange rate |
| 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/10010418224