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...

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Bibliographic Details
Main Authors: Wong, Men-Wei, 翁孟瑋
Other Authors: Chou, Yeu-Tien
Format: Others
Language:en_US
Published: 2016
Online Access:http://ndltd.ncl.edu.tw/handle/x22f29