Empirical Analysis of CARR Model with Interquantile Range
碩士 === 國立交通大學 === 經營管理研究所 === 95 === The conditional autoregressive range (CARR) model was proposed a dynamic model for the high/low range of asset prices within fixed time intervals. However, adopting range as the proxy of volatility has some problems. Firstly, range is highly sensitive to outliers...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/27756799858856178841 |