An Application and Estimation for CARR Model With Structure Change
碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === Chou(2005) proposed the CARR (Conditional AutoRegressive Range) model as an alternative volatility model. The main idea for the CARR model is to use a simple dynamic structure with range volatility to characterize the volatility process. This paper incorporat...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/53490619030445192353 |