An automatic bias correction procedure for volatility estimation using extreme values of asset prices
S. Maheswaran; Dilip Kumar
| Year of publication: |
2013
|
|---|---|
| Authors: | Maheswaran, S. ; Kumar, Dilip |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 33.2013, p. 701-712
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| Subject: | Volatility estimation | Extreme values | Bias correction | Random walk effect | Volatilität | Volatility | Schätztheorie | Estimation theory | Systematischer Fehler | Bias | Börsenkurs | Share price | Schätzung | Estimation | Random Walk | Random walk | Ausreißer | Outliers | Zeitreihenanalyse | Time series analysis |
| 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/10010194420