Volatility behavior of asset returns based on robust volatility ratio: Empirical analysis on global stock indices
Author:
Affiliation:
1. IFMR Graduate School of Business, KREA University, 5655, Central Express Way, Sector 24, Sri City, Andhra Pradesh 517646, India
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.cogentoa.com/article/10.1080/23322039.2019.1597430.pdf
Reference43 articles.
1. Discrete stochastic autoregressive volatility
2. R.A. Fisher and the making of maximum likelihood 1912-1922
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4. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
5. The distribution of realized stock return volatility
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