Detecting sudden changes in volatility estimated from high, Low and closing prices

Economic Modelling

Volumn 31, Issue 1, 2013, Pages 484-491

  Kumar, Dilip ^a   Maheswaran, S ^a  

^a Institute for Financial Management and Research   (India)

Author keywords

IT ICSS algorithm; Monte Carlo simulation; Regime shifts; Rogers and Satchell estimator

Indexed keywords

EID: 84872760964     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2012.12.021     Document Type: Article

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