Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices

Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices

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This paper investigates the superiority of the Yang and Zhang (YZ) estimator over the demeaned squared returns in detecting sudden breaks based on Inclan and Tiao (IT-ICSS) algorithm using Monte Carlo simulation experiments. Our findings indicate that the IT-ICSS algorithm exhibits desirable size an...

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Bibliographic Details
Main Author: Dilip Kumar
Format: Article
Language:English
Published: Elsevier 2016-03-01
Series:IIMB Management Review
Subjects:
IT-ICSS algorithm
Sudden changes in volatility
Monte Carlo simulation
Yang and Zhang estimator
Online Access:http://www.sciencedirect.com/science/article/pii/S0970389616000045

Internet

http://www.sciencedirect.com/science/article/pii/S0970389616000045

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