Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
Volatility of asset prices in financial market is not directly observable. Return-based models have been proposed to estimate the volatility using daily closing prices. Recently, many new range-based volatility measures were proposed to estimate the financial volatility. This paper proposes quantile...
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| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Elsevier
2019
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/23293/ https://doi.org/10.1016/j.najef.2018.06.010 |
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