A new statistic to capture the level dependence in stock price volatility
Year of publication: |
August 2017
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Authors: | Padmakumari, Lakshmi ; Maheswaran, S. |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 65.2017, p. 355-362
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Subject: | Volatility estimation | Random walk | Extreme values | Covariance | Constant Elasticity of Variance | Level dependence | Börsenkurs | Share price | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Random Walk | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis |
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