The economic value of volatility timing using a range-based volatility model (Q609837): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Modeling the Asymmetry of Stock Movements Using Price Ranges / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A multivariate conditional autoregressive range model / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Continuous Record Asymptotics for Rolling Sample Variance Estimators / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Measuring volatility with the realized range / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Estimating variance from high, low and closing prices / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4779802 / rank | |||
Normal rank | |||
Latest revision as of 12:38, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The economic value of volatility timing using a range-based volatility model |
scientific article |
Statements
The economic value of volatility timing using a range-based volatility model (English)
0 references
1 December 2010
0 references
asset allocation
0 references
CARR
0 references
DCC
0 references
economic value
0 references
range
0 references
volatility timing
0 references
