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A General Volatility Framework and the Generalised Historical Volatility Estimator

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Author Info

  • Bollen, B.
  • Inder, B.

Abstract

This study proposes a new approach to estimation of the time series properties of daily volatility in financial markets.

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Bibliographic Info

Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 10/98.

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Length: 35 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:msh:ebswps:1998-10

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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Phone: +61-3-9905-2489
Fax: +61-3-9905-5474
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Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Web: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/

Related research

Keywords: EVALUATION ; TIME SERIES ; FINANCIAL MARKET;

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Cited by:
  1. Moosa, Imad A. & Bollen, Bernard, 2002. "A benchmark for measuring bias in estimated daily value at risk," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 85-100.
  2. John Galbraith & Victoria Zinde-Walsh, 2001. "Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations," CIRANO Working Papers 2001s-15, CIRANO.

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