A General Volatility Framework and the Generalised Historical Volatility Estimator
AbstractThis study proposes a new approach to estimation of the time series properties of daily volatility in financial markets.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 10/98.
Length: 35 pages
Date of creation: 1998
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Find related papers by JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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- John W. Galbraith & Victoria Zinde-Walsh, 2000.
"Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations,"
Econometric Society World Congress 2000 Contributed Papers
1800, Econometric Society.
- John Galbraith & Victoria Zinde-Walsh, 2001. "Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations," CIRANO Working Papers 2001s-15, CIRANO.
- 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.
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