Forecasting energy futures volatility based on the unbiased extreme value volatility estimator

This paper uses the opening, high, low, and closing prices of five energy futures to estimate and model volatility based on the unbiased extreme value volatility estimator (the Add RS estimator). The statistical and distributional properties of the logarithm of the Add RS estimator support the use o...

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Hlavní autor:	Dilip Kumar
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	Elsevier 2017-12-01
Edice:	IIMB Management Review
Témata:	Energy futures Volatility modelling Volatility forecasting Forecast evaluation Bias-corrected extreme value estimator
On-line přístup:	http://www.sciencedirect.com/science/article/pii/S0970389617305372
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