Volatility forecasting using threshold heteroskedastic...

Computational Statistics & Data Analysis 2008 Vol. 52; Iss. 6

Volatility forecasting using threshold heteroskedastic models of the intra-day range

Cathy W.S. Chen, Richard Gerlach, Edward M.H. Lin
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Volume:
52
Year:
2008
Language:
english
Pages:
21
DOI:
10.1016/j.csda.2007.08.002
File:
PDF, 506 KB
english, 2008
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