Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis

Economic Modelling

Volumn 49, Issue , 2015, Pages 354-371

  Kumar, Dilip ^a  

^a INDIAN INSTITUTE OF MANAGEMENT KASHIPUR   (India)

Author keywords

CARRS model; Forecast evaluation; GARCH model; Rogers and Satchell estimator; Volatility modeling

Indexed keywords

EID: 84930933833     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2015.05.001     Document Type: Article

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