Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices
Year of publication: |
March 2016
|
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Authors: | Kumar, Dilip |
Published in: |
IIMB management review. - Bangalore : IIMB, ISSN 0970-3896, ZDB-ID 2413253-6. - Vol. 28.2016, 1, p. 31-42
|
Subject: | IT-ICSS algorithm | Sudden changes in volatility | Monte Carlo simulation | Yang and Zhang estimator | Volatilität | Volatility | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Börsenkurs | Share price | Strukturbruch | Structural break |
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