Extreme value theories indicate that the range is an efficient estimator of local volatility in
financial time series. A geometric process (GP) framework that incorporates the conditional …

Este artículo tiene como propósito presentar la estimación del Modelo Autorregresivo de
Rango Condicional (CARR)(p, q) a partir de tres procedimientos distintos: como un modelo …

This article proposes a new approach to the conditional autoregressive range (CARR)
model using the Birnbaum‐Saunders (BS) distribution. The model aims to develop volatility …

Özet Finansal yatırım kararı alınırken ve risk yönetimi kapsamında politikalar belirlenirken
göz önünde bulundurulması gereken en önemli kavram “risk” kavramıdır. Gelecekte …

Finansal yatırım kararı alınırken ve risk yönetimi kapsamında politikalar belirlenirken göz
önünde bulundurulması gereken en önemli kavram “risk” kavramıdır. Gelecekte …

Estimating and forecasting stock volatility is critical to portfolio allocation, asset pricing, and
14 risk management for market participants to make investment decisions and for …

I owe a debt of gratitude to my parents Theodoros and Georgia for their wholelife support,
valuable trust to this step of my life and infinite love. Words cannot describe how grateful i …

In the financial markets, volatility is always associated with monetary policies, exchange
rates and global events. Therefore, correct modelling and forecasting volatility is essential to …

Geometric ergodicity and β-mixing property for a multivariate CARR model - ScienceDirect Skip
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This master thesis examines whether the opening price of a trading session is a result of
overreaction generated by the interaction of noise traders. In order to study the overreaction …