Modelling and Forecasting Stock Volatility and Return : A New Approach Based on Quantile Rogers-Satchell Volatility Measure With Asymmetric Bilinear CARR Model
Year of publication: |
2020
|
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Authors: | Tan, Shay Kee |
Other Persons: | Chan, Jennifer (contributor) ; Kok Haur Ng (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Theorie | Theory | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (41 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 22, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3523783 [DOI] |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; c55 ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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