Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Year of publication: |
2022
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Authors: | Tan, Shay Kee ; Chan, Jennifer So Kuen ; Kok Haur Ng |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 26.2022, 3, p. 437-474
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Subject: | CARR model | quantile Rogers–Satchell | range-based | value-at-risk | volatility | Theorie | Theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Risikomaß | Risk measure | Kapitaleinkommen | Capital income |
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