Search Results - subject:"Range-based model"

Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data

Tan, Shay Kee; Kok Haur Ng; Chan, Jennifer So Kuen; … - In: The North American journal of economics and finance : a … 47 (2019), pp. 537-551

Persistent link: https://www.econbiz.de/10012120126

Forecasting volatility in the Indian equity market using return and range-based models

Raju, Karthik; Rangaswamy, Saravanan - In: Applied economics 49 (2017) 49, pp. 5027-5039

Persistent link: https://www.econbiz.de/10011844848

Regime-switching in volatility and correlation structure using range-based models with Markov-switching

Miao, Daniel Wei-Chung; Wu, Chun-chou; Su, Yi Kai - In: Economic modelling 31 (2013), pp. 87-93

Persistent link: https://www.econbiz.de/10009725779

Regime-switching in volatility and correlation structure using range-based models with Markov-switching

Miao, Daniel Wei-Chung; Wu, Chun-Chou; Su, Yi-Kai - In: Economic Modelling 31 (2013) C, pp. 87-93

This study examines latent shifts in the conditional volatility and correlation for the U.S. stock and T-bond data using the two-state Markov-switching range-based volatility and correlation models. This paper comes up with clear evidence of volatility regime-switching in stock indices and...

Persistent link: https://www.econbiz.de/10010636268