Showing 1 - 10 of 19
Based on the specification of the Conditional Autoregressive Range (CARR) model, we provide a framework that makes use of volatility based on the high and the low of daily prices separately to model the dynamic behavior of the conditional Rogers and Satchell (1991) estimator called herein the...
Persistent link: https://www.econbiz.de/10010930974
In this paper, we provide a framework to model and forecast daily volatility based on the newly proposed additive bias corrected extreme value volatility estimator (the Add RS estimator). The theoretical framework of the additive bias corrected extreme value volatility estimator is based on the...
Persistent link: https://www.econbiz.de/10010931496
Purpose – The main purpose of this paper is to examine the asymmetry and long memory properties in the volatility of the stock indices of the PIIGS economies (Portugal, Ireland, Italy, Greece and Spain). Design/methodology/approach – The paper utilizes the wavelets approach (based on Haar,...
Persistent link: https://www.econbiz.de/10010814981
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Persistent link: https://www.econbiz.de/10010088124
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We propose and implement an empirical automatic bias correction (ABC) procedure for correcting the downward bias in the volatility estimators that utilize extreme value of asset prices. The bias originates from the random walk effect. The proposed estimator does not require knowledge of N, the...
Persistent link: https://www.econbiz.de/10010738022
In this paper, we derive a reflection principle for a random walk with the symmetric double exponential distribution. This allows us to come up with the closed form solution for the joint probability of the running maximum and the terminal value of the random walk. Based on this new theoretical...
Persistent link: https://www.econbiz.de/10011048828
This article examines the return, volatility, upside risk and downside risk spillover effects from crude oil prices and the US$/INR exchange rate to the major Indian industrial sectors using Hong’s (2001) approach. We make use of the generalised autoregressive conditional...
Persistent link: https://www.econbiz.de/10011136573
A new variance ratio is proposed in this article that utilises the extreme values of asset prices. On the basis of the specification test, it is documented that there is excess volatility in the Indian stock market, whereas this feature is completely absent in the US. It is also found that such...
Persistent link: https://www.econbiz.de/10010772749