A General Volatility Framework and the Generalised Historical Volatility Estimator
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
More about this item
KeywordsEVALUATION ; TIME SERIES ; FINANCIAL MARKET;
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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