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Range Volatility: A Review of Models and Empirical Studies · Study

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ChapterRange Volatility: A Review of Models and Empirical Studies

Ray Yeutien Chou2014

Chapter2014

Range Volatility: A Review of Models and Empirical Studies

Ray Yeutien Chou · Heng-Chih Chou · Nathan Liu C

37 citations·0/0 files stored·Springer eBooks

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 37 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2002Dynamic Conditional Correlation 1992ARCH modeling in finance 2003Modeling and Forecasting Realized Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2001The distribution of realized stock return volatility

Cited by

2022Forecasting volatility during the outbreak of Russian invasion of Ukraine: Application to commodities, stock indices, currencies, and cryptocurrencies

Details

Year2014

Typechapter

Published2014-08-09

VenueSpringer eBooks

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1007/978-1-4614-7750-1_74

openalex_workW3123984009

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