Detecting sudden changes in volatility estimated from high, low and closing prices
Dilip Kumar; S. Maheswaran
| Year of publication: |
2013
|
|---|---|
| Authors: | Kumar, Dilip ; Maheswaran, S. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 31.2013, p. 484-491
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| Subject: | IT ICSS algorithm | Regime shifts | Monte Carlo simulation | Rogers and Satchell estimator | Volatilität | Volatility | Monte-Carlo-Simulation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Simulation |
| 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/10009730777