Volatility forecasting using threshold heteroskedastic models of the intra-day range (Q1023630): Difference between revisions

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Property / author: Richard H. Gerlach / rank
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Latest revision as of 15:29, 1 July 2024

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Volatility forecasting using threshold heteroskedastic models of the intra-day range
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    Volatility forecasting using threshold heteroskedastic models of the intra-day range (English)
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    12 June 2009
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    size and sign asymmetry
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    volatility model
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    conditional autoregressive range (CARR) model
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    threshold variable
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    Bayes inference
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    MCMC methods
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