Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
Shay-Kee Tan, Kok-Haur Ng, Jennifer So-Kuen Chan, Ibrahim Mohamed
| Year of publication: |
2019
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|---|---|
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.06.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012120126