Comparison of range-based volatility estimators against integrated volatility in European emerging markets
Josip Arnerić, Mario Matković, Petar Sorić
| Year of publication: |
2019
|
|---|---|
| Authors: | Arnerić, Josip ; Matković, Mario ; Sorić, Petar |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 28.2019, p. 118-124
|
| Subject: | Emerging market | Integrated volatility | Loss function | OHLC estimator | Realized variance | Upper tail dependence | Volatilität | Volatility | Schwellenländer | Emerging economies | Schätztheorie | Estimation theory | Marktintegration | Market integration | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model |