Modelling the paradox in stock markets by variance ratio volatility estimator that utilises extreme values of asset prices
Muneer Shaik, S. Maheswaran
| Year of publication: |
December 2016
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|---|---|
| Authors: | Shaik, Muneer ; Maheswaran, S. |
| Published in: |
Journal of emerging market finance. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0972-6527, ZDB-ID 2136100-9. - Vol. 15.2016, 3, p. 333-361
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| Subject: | Excess volatility | random walk effect | Markov property of asset prices | variance ratio | Binomial Markov Random Walk model | Theorie | Theory | Börsenkurs | Share price | Volatilität | Volatility | Random Walk | Random walk | Markov-Kette | Markov chain | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/0972652716666464 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691166