Efficient modelling and forecasting with range based volatility models and its application
Kok Haur Ng, Shelton Peiris, Jennifer So-kuen Chan, David Allen, Kooi Huat Ng
| Year of publication: |
November 2017
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| Authors: | Kok Haur Ng ; Peiris, Shelton ; Chan, Jennifer So-kuen ; Allen, David E. ; Kooi Huat Ng |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 42.2017, p. 448-460
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| Subject: | Volatility model | Estimating functions | Range data | Conditional autoregressive range model | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2017.08.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011938162