Chan, J.S.K.; Lam, C.P.Y.; Yu, P.L.H.; Choy, S.T.B.; … - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3006-3019
presented for range data. The proposed model, called the conditional autoregressive geometric process range (CARGPR) model … package. A simulation study shows that model parameters are estimated with high accuracy. In the empirical study on the range … data of an Australian stock market index, the CARGPR model outperforms the CARR model in both in-sample estimation and out …
