Forecasting financial volatilities with extreme values: The Conditional Autoregressive Range (CARR) Model

Journal of Money, Credit and Banking

Volumn 37, Issue 3, 2005, Pages 561-582

  Chou, Ray Yeutien ^a  

^a NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

Author keywords

ACD; CARR; Extreme values; GARCH; High low range

Indexed keywords

EID: 22544460239     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1353/mcb.2005.0027     Document Type: Review

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