New parameterization of stochastic conditional range models for financial volatility modelling

DOI10.1080/03610918.2024.2408625MaRDI QIDQ6847102zbMATH OpenFDO

Authors Shiji Kavungal, Rahul Thekkedath

Publication date 9 March 2026

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2024.2408625

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Statistical properties of the generalized inverse Gaussian distribution
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Volatility contagion: a range-based volatility approach
• Volatility forecasting using stochastic conditional range model with leverage effect

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