A Low Price Correction for Improved Volatility Estimation and Forecasting
Author:
Publisher
MDPI AG
Subject
Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting
Link
http://www.mdpi.com/2227-9091/5/3/45/pdf
Reference34 articles.
1. Some factors affecting stock price variability;Allison;Journal of Business,1966
2. The distribution of realized stock return volatility
3. Fractionally integrated generalized autoregressive conditional heteroskedasticity
4. Modeling volatility with time-varying FIGARCH models
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