A General Volatility Framework and the Generalised Historical Volatility Estimator

Bernard Bollen and Brett Inder

No 10/98, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This study proposes a new approach to estimation of the time series properties of daily volatility in financial markets.

Keywords: EVALUATION; TIME SERIES; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C13 C20 C22 (search for similar items in EconPapers)
Pages: 35 pages
Date: 1998
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Citations: View citations in EconPapers (2)

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