Volatility forecasting using threshold heteroskedastic models of the intra-day range (Q1023630)
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scientific article; zbMATH DE number 5564683
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility forecasting using threshold heteroskedastic models of the intra-day range |
scientific article; zbMATH DE number 5564683 |
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Volatility forecasting using threshold heteroskedastic models of the intra-day range (English)
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12 June 2009
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size and sign asymmetry
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volatility model
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conditional autoregressive range (CARR) model
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threshold variable
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Bayes inference
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MCMC methods
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