Title of article :
Volatility forecasting using threshold heteroskedastic models of the intra-day range
Author/Authors :
Cathy W.S. Chen، نويسنده , , Richard Gerlach، نويسنده , , Edward M.H. Lin، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Keywords :
Conditional autoregressive range (CARR) model , Threshold variable , Bayes inference , Volatility model , Size and sign asymmetry , MCMC methods
Journal title :
Computational Statistics and Data Analysis
Journal title :
Computational Statistics and Data Analysis
