Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect : an individual stock level study with economic significance analysis
Faisal Nazir Zargar, Dilip Kumar
| Year of publication: |
2020
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| Authors: | Zargar, Faisal Nazir ; Kumar, Dilip |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 77.2020, p. 271-285
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| Subject: | Forecast evaluation | Heterogeneity | Leverage effect | The AddRS volatility estimator | Volatility modeling | Volatilität | Volatility | Schätzung | Estimation | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2019.09.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012431113