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 close price. Recently, many new range-based volatility measures were proposed to estimate the financial volatility. A quantile Parkinson (QPK) meas...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Published: |
2017
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| Subjects: | |
| Online Access: | http://cmstatistics.org/RegistrationsV2/EcoSta2017/viewSubmission.php?in=645&token=r933rq4os548o14qr2s2p0sn92r13n53 http://cmstatistics.org/RegistrationsV2/EcoSta2017/viewSubmission.php?in=645&token=r933rq4os548o14qr2s2p0sn92r13n53 http://eprints.um.edu.my/17415/1/Quantile_range.pdf |