A Study of Using Alternative Realized Volatility Estimators in Volatility Timing Strategy
碩士 === 中國文化大學 === 財務金融學系 === 101 === This paper reinforces the realized GARCH which is included the realized volatility (RV), realized range volatility (RRV) and realized bi-power variation (RBV). The data was consisted of S&P500 futures and gold futures in this empirical study. The RV, RRV and...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/10084240215922101152 |