Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
A. Ronald Gallant, Chien-Te Hsu, and George Tauchen
| Year of publication: |
1999
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|---|---|
| Authors: | Gallant, A. Ronald ; Hsu, Chiente ; Tauchen, George Eugene |
| Published in: |
The review of economics and statistics. - Cambridge, Mass. : MIT Press, ISSN 0034-6535, ZDB-ID 207962-8. - Vol. 81.1999, 4, p. 617-631
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| Subject: | Börsenkurs | Share price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Theorie | Theory | USA | United States | Statistische Verteilung | Statistical distribution | Varianzanalyse | Analysis of variance | 1985-1997 |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: The review of economics and statistics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001437376