๐”– Bobbio Scriptorium
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Comparative study of the biases of MUSIC-like estimators

โœ Scribed by Wenyuan Xu; Mostafa Kaveh


Book ID
104174368
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
924 KB
Volume
50
Category
Article
ISSN
0165-1684

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Recent advances in econometric methodology and newly available sources of data are used to examine empirically the performance of the various extreme-value volatility estimators that have been proposed over the past two decades. Overwhelming support is found for the use of extreme-value estimators w