Volatility forecasting using stochastic conditional range model with leverage effect

DOI10.1002/asmb.2457MaRDI QIDQ6574620

Xin-Yu Wu, Haibin Xie

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

particle filtersleverage effectvolatility forecastingprice rangeSCRL

Mathematics Subject Classification ID

Statistics (62-XX)

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