Forecasting volatility using range data: analysis for emerging equity markets in Latin America-Reference-Cited by-同舟云学术

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Forecasting volatility using range data: analysis for emerging equity markets in Latin America

Published:2011-11-22 Issue:6 Volume:22 Page:461-470
ISSN:0960-3107
Container-title:Applied Financial Economics
language:en
Short-container-title:Applied Financial Economics

Author:

Asai Manabu¹,Brugal Iván²³

Affiliation:

1. a Faculty of Economics, Soka University , 1-236 Tangi-cho, Hachioji-shi 192-8577, Japan

2. b Graduate School of Economics, Soka University , 1-236 Tangi-cho, Hachioji-shi 192-8577, Japan

3. c Superintendence of Banks, Santo Domingo , Dominican Republic

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/09603107.2011.617694

Reference25 articles.

1. Range-Based Estimation of Stochastic Volatility Models

2. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

3. Alternative Asymmetric Stochastic Volatility Models

4. General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets

5. VaR without correlations for portfolios of derivative securities

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Range Volatility: A Review of Models and Empirical Studies;Handbook of Financial Econometrics and Statistics;2014-08-09

2. Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range;Journal of Forecasting;2013-06-07

3. Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range;SSRN Electronic Journal;2012

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