Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Shay Kee Tan, Jennifer So Kuen Chan and Kok Haur Ng
| Year of publication: |
2022
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| Authors: | Tan, Shay Kee ; Chan, Jennifer So Kuen ; Kok Haur Ng |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 26.2022, 3, p. 437-474
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| Subject: | CARR model | quantile Rogers–Satchell | range-based | value-at-risk | volatility | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2019-0101 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013334835