Detecting sudden changes in volatility estimated from high, low and closing prices
Year of publication: |
2013
|
---|---|
Authors: | Kumar, Dilip ; Maheswaran, S. |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 31.2013, C, p. 484-491
|
Publisher: |
Elsevier |
Subject: | IT ICSS algorithm | Regime shifts | Monte Carlo simulation | Rogers and Satchell estimator |
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