Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
Year of publication: |
2019
|
---|---|
Authors: | Tan, Shay Kee ; Kok Haur Ng ; Chan, Jennifer So Kuen ; Ibrahim Mohamed |
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. 47.2019, p. 537-551
|
Subject: | High frequency | Quantile Parkinson | Range-based model | Value-at-risk | Volatility | Volatilität | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Börsenkurs | Share price | Modellierung | Scientific modelling |
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