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A conditional extreme value volatility estimator based on high-frequency returns
Turan G. Bali,
David Weinbaum
Research output
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Contribution to journal
›
Article
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peer-review
45
Scopus citations
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Dive into the research topics of 'A conditional extreme value volatility estimator based on high-frequency returns'. Together they form a unique fingerprint.
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Keyphrases
Conditional Extremes
100%
High-frequency Returns
100%
Realized Volatility
100%
Time Series Variation
66%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
66%
GARCH Volatility
66%
Implied Volatility Curve
33%
Intraday Data
33%
Volatility Modelling
33%
Implied Volatility Index
33%
Theil Inequality Coefficient
33%
Extreme Value Distribution
33%
S&P 100
33%
Day-ahead Forecasting
33%
Mathematics
GARCH Model
100%
Implied Volatility
100%
Extreme Value Distribution
50%
Information Content
50%
Forecasting Ability
50%
Medicine and Dentistry
Time Series Analysis
100%