Momentum Deviation: A New Volatility Estimator
碩士 === 國立交通大學 === 財務金融研究所 === 104 === This study proposes a new volatility Estimator named momentum deviation which combines the advantages of both return and range measure. We develop two different momentum deviation volatility models called GARCH-MD and CARR-MD based on the Generalized Autoregres...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | en_US |
Published: |
2016
|
Online Access: | http://ndltd.ncl.edu.tw/handle/x22f29 |