Title of article
A conditional extreme value volatility estimator based on high-frequency returns
Author/Authors
Turan G. Bali، نويسنده , , David Weinbaum، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
37
From page
361
To page
397
Keywords
Extreme value , Realized volatility , High-frequency returns , Implied volatility , GARCH
Journal title
Journal of Economic Dynamics and Control
Serial Year
2007
Journal title
Journal of Economic Dynamics and Control
Record number
238998
Link To Document