Volatility Forecasting Using Threshold Heteroskedastic Models of the Intra-day Range
Year of publication: |
2009
|
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Authors: | Chen, Cathy W. S. ; Gerlach, Richard H. ; Lin, Edward M.H |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Börsenkurs | Share price | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (25 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 27, 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1410616 [DOI] |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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