A Range-Based GARCH Model for Forecasting Volatility
Year of publication: |
2003-12
|
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Authors: | Mapa, Dennis S. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Volatility | Parkinson Range | GARCH-PARK-R | QMLE |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in The Philippine Review of Economics 2.XL(2003): pp. 73-90 |
Classification: | C51 - Model Construction and Estimation ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C01 - Econometrics |
Source: |
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