Forecasting financial volatility : an approach based on Parkinson volatility measure with long memory stochastic range model
Zhi De Khoo, Kok Haur Ng, You Beng Koh, Kooi Huat Ng
| Year of publication: |
2025
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| Authors: | Zhi De Khoo ; Kok Haur Ng ; You Beng Koh ; Kooi Huat Ng |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 82.2025, Art.-No. 101617, p. 1-15
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| Subject: | Long memory | Long memory stochastic range model | Parkinson measure | Range-based volatility | Stochastic volatility model | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH 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.jempfin.2025.101617 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015432876